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A policy iteration algorithm for fixed point problems with nonexpansive operators. (English) Zbl 1171.47051
Summary: The aim of this paper is to solve the fixed point problems:
\[ v = \mathcal{O} v, \quad \text{with}\quad \mathcal{O}v(x) \mathop{=}^{\text{def}} \max (Lv(x), Bv(x) ), \;x \in \mathcal E, \tag{1} \] where \(\mathcal E\) is a finite set, \(L\) is contractive, \(B\) is a nonexpansive operator, and
\[ v = \mathcal{O} v,\quad \text{with}\quad \mathcal{O}v(x) \mathop{=}^{\text{def}} \max\left(\sup_{w \in \mathcal{W}} L^{w} v(x) ,\sup_{z \in \mathcal{Z}} B^{z} v(x)\right), \;x \in \mathcal E, \tag{2} \] where \(\mathcal{W}\) and \(\mathcal{Z}\) are general control sets, the operators \(L^{w}\) are contractive and operators \(B^{z}\) are nonexpansive. For these two problems, we give conditions which imply the existence and uniqueness of a solution and provide a policy iteration algorithm which converges to the solution. The proofs are slightly different for the two problems since the set of controls is finite for (1) while that is not necessary the case for problem (2). Equation (2) typically arises in numerical analysis of quasivariational inequalities and variational inequalities associated to impulse or singular stochastic control.

47J25 Iterative procedures involving nonlinear operators
47H09 Contraction-type mappings, nonexpansive mappings, \(A\)-proper mappings, etc.
47H10 Fixed-point theorems
65J15 Numerical solutions to equations with nonlinear operators (do not use 65Hxx)
49J40 Variational inequalities
Full Text: DOI
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