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Policy iteration for nonconvex viscous Hamilton--Jacobi equations
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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.
Forward citations
Cited by 2 Pith papers
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Beyond separability: convergence rate of vanishing viscosity approximations to mean field games via FBSDE stability
The vanishing viscosity approximation to nonlocal, possibly non-separable mean field games converges at rate O(β) in L∞ on compact sets, matching the classical Hamilton-Jacobi rate.
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Solving nonconvex Hamilton--Jacobi--Isaacs equations with PINN-based policy iteration
A PINN-based policy iteration method for nonconvex Hamilton-Jacobi-Isaacs equations with a convergence analysis and tests up to 10 dimensions.
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