Thursday, 13:15 - 13:40 h, Room: H 1012

 

Hasnaa Zidani
Some convergence results for the policy iterations algorithm.

Coauthor: Olivier Bokanowski

 

Abstract:
In this talk, we will present some convergence results of Howard's algorithm for the resolution of equations in the form of mina ∈ A(Bax-ca) = 0, where Ba is a matrix, ca is a vector, and A is a compact set. We show a global superlinear convergence result, under a monotonicity assumption on the matrices Ba. An Extension of Howard's algorithm for a max-min problem of the form maxb ∈ B mina ∈ A(Ba,bx - ca,b) = 0 will be also proposed.
The algorithms are illustrated on the discretization of nonlinear PDEs arising in the context of mathematical finance (American option and Merton's portfolio problem), of front propagation problems, and for the double-obstacle problem, and Hamilton-Jacobi equations.

 

Talk 1 of the invited session Thu.2.H 1012
"Policy iteration algorithms and some applications" [...]
Cluster 17
"Nonsmooth optimization" [...]

 

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