Policy iteration for nonconvex viscous Hamilton--Jacobi equations
By: Xiaoqin Guo, Hung Vinh Tran, Yuming Paul Zhang
Potential Business Impact:
Makes AI learn faster by improving how it thinks.
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.
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