采用非线性SOR迭代法求解一类特殊的Hamilton-Jacobi-Bellman(HJB)方程, 该迭代法可以看成为求解线性方程组的SOR迭代法在求解HJB方程上的推广. 在一定条件下此方法具有单调收敛性.
A nonlinear SOR iteration method was used to solve a kind of HJB equation. The method is an extension of SOR iteration method from linear problem to HJB equation. Under proper conditions, it has some good monotone convergences.
孙 哲,吴 磊.求解一类HJB方程的非线性SOR迭代法[J].湖南大学学报：自然科学版,2010,37(7):86~88
