Chen, Weitian; Anderson, Brian
Although many iterative algorithms have been proposed for solving Hamilton- Jacobi-Bellman equation arising from nonlinear optimal control, it remains open how fast those algorithms can converge. The convergence rate of those algorithms is of great importance in concluding whether they offer practical benefit. This paper presents a study on how fast the well- known Leake-Liu algorithm in Leake and Liu (1967) can converge. The relationship between the sequence of approximate solutions to the HLB...[Show more]
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