Solutions of the optimal control and H-infinity-control problems for nonlin
ear a ne systems can be found by solving Hamilton Jacobi equations. However
, these first-order nonlinear partial differential equations can, in genera
l, not be solved analytically. This paper introduces an iterative algorithm
which solves these equations numerically for points near the origin. The p
rocedure converges to the stabilizing solution exponentially with respect t
o the iteration variable. The algorithm is implemented on both illustrative
and comparative examples.