Parallel Stochastic Dynamic Programming : Finite Element Methods

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

11 Scopus Citations
View graph of relations

Author(s)

  • S. L. Chung
  • F. B. Hanson
  • H. H. Xu

Detail(s)

Original languageEnglish
Pages (from-to)197-218
Journal / PublicationLinear Algebra and Its Applications
Volume172
Publication statusPublished - 15 Jul 1992
Externally publishedYes

Abstract

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.

Citation Format(s)

Parallel Stochastic Dynamic Programming : Finite Element Methods. / Chung, S. L.; Hanson, F. B.; Xu, H. H.

In: Linear Algebra and Its Applications, Vol. 172, 15.07.1992, p. 197-218.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review