PARALLEL STOCHASTIC DYNAMIC-PROGRAMMING - FINITE-ELEMENT METHODS

被引：5
|
作者：
CHUNG, SL
HANSON, FB
XU, HH
机构：
来源：
LINEAR ALGEBRA AND ITS APPLICATIONS | 1992年 / 172卷
基金：
美国国家科学基金会;
关键词：
D O I：
10.1016/0024-3795(92)90026-7
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A finite element method for stochastic dynamic programming is developed. The computational method is valid for a general class of optimal control problems that are nonlinear and perturbed by general Markov noise in continuous time, including jump Poisson noise. Stability and convergence of the method are verified, and its advantage in storage utilization efficiency over the traditional finite difference method is demonstrated. This advanced numerical technique, together with parallel computation, helps to alleviate Bellman's curse of dimensionality by permitting the solution of larger problems.
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页码：197 / 218
页数：22
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