scholarly journals A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation

2017 ◽  
Vol 73 (9) ◽  
pp. 1932-1944 ◽  
Author(s):  
Xu Chen ◽  
Wenfei Wang ◽  
Deng Ding ◽  
Siu-Long Lei
Keyword(s):  
Iteration Method ◽  
American Options ◽  
Hjb Equation ◽  
Policy Iteration ◽  
Options Valuation

scholarly journals Policy iteration for Hamilton–Jacobi–Bellman equations with control constraints

2021 ◽  
Author(s):  
Sudeep Kundu ◽  
Karl Kunisch
Keyword(s):  
Linear Equations ◽  
Hjb Equation ◽  
Policy Iteration ◽  
Optimal Feedback Control ◽  
Iteration Step ◽  
Control Constraints ◽  
Hjb Equations ◽  
Bellman Equations ◽  
Hamilton Jacobi Bellman ◽  
Feedback Control Theory

AbstractPolicy iteration is a widely used technique to solve the Hamilton Jacobi Bellman (HJB) equation, which arises from nonlinear optimal feedback control theory. Its convergence analysis has attracted much attention in the unconstrained case. Here we analyze the case with control constraints both for the HJB equations which arise in deterministic and in stochastic control cases. The linear equations in each iteration step are solved by an implicit upwind scheme. Numerical examples are conducted to solve the HJB equation with control constraints and comparisons are shown with the unconstrained cases.

Motion planning of a quadrotor robot game using a simulation-based projected policy iteration method

2019 ◽  
Vol 20 (4) ◽  
pp. 525-537
Author(s):  
Li-dong Zhang ◽  
Ban Wang ◽  
Zhi-xiang Liu ◽  
You-min Zhang ◽  
Jian-liang Ai
Keyword(s):  
Motion Planning ◽  
Iteration Method ◽  
Policy Iteration ◽  
Simulation Based ◽  
Quadrotor Robot

Object delineation in noisy images by a modified policy-iteration method

1992 ◽  
Vol 14 (9) ◽  
pp. 952-958 ◽  
Author(s):  
A.C.M. Dumay ◽  
M.N.A.J. Claessens ◽  
C. Roos ◽  
J.J. Gerbrands ◽  
J.H.C. Reiber
Keyword(s):  
Iteration Method ◽  
Policy Iteration ◽  
Noisy Images ◽  
Object Delineation

scholarly journals Enhanced policy iteration for American options via scenario selection

2008 ◽  
Vol 8 (2) ◽  
pp. 135-146 ◽  
Author(s):  
Christian Bender ◽  
Anastasia Kolodko ◽  
John Schoenmakers
Keyword(s):  
American Options ◽  
Policy Iteration
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