Policy iteration for nonconvex viscous Hamilton--Jacobi equations
Numerical Analysis
2025-03-05 v1 Numerical Analysis
Analysis of PDEs
Optimization and Control
Abstract
We study the convergence rates of policy iteration (PI) for nonconvex viscous Hamilton--Jacobi equations using a discrete space-time scheme, where both space and time variables are discretized. We analyze the case with an uncontrolled diffusion term, which corresponds to a possibly degenerate viscous Hamilton--Jacobi equation. We first obtain an exponential convergent result of PI for the discrete space-time schemes. We then investigate the discretization error.
Cite
@article{arxiv.2503.02159,
title = {Policy iteration for nonconvex viscous Hamilton--Jacobi equations},
author = {Xiaoqin Guo and Hung Vinh Tran and Yuming Paul Zhang},
journal= {arXiv preprint arXiv:2503.02159},
year = {2025}
}
Comments
25 pages