Abstract
In this paper, we propose an iterative relaxation method for solving the Hamilton-Jacobi-Bellman-Isaacs equation (HJBIE) arising in deterministic optimal control of affine nonlinear systems. Local convergence of the method is established under fairly mild assumptions, and examples are solved to demonstrate the effectiveness of the method. An extension of the approach to Lyapunov equations is also discussed. The preliminary results presented are promising, and it is hoped that the approach will ultimately develop into an efficient computational tool for solving the HJBIEs.