A monotone semi-discrete policy iteration scheme with O(h) artificial viscosity for stationary discounted HJB equations converges geometrically for fixed h and achieves O(sqrt(h)) error to the viscosity solution.
Physics-informed approach for exploratory hamilton–jacobi–bellman equations via policy iterations
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Policy Iteration for Stationary Discounted Hamilton--Jacobi--Bellman Equations: A Viscosity Approach
A monotone semi-discrete policy iteration scheme with O(h) artificial viscosity for stationary discounted HJB equations converges geometrically for fixed h and achieves O(sqrt(h)) error to the viscosity solution.