Parallel Stochastic Dynamic Programming: Finite Element Methods

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

doi:10.1016/0024-3795(92)90026-7

Parallel Stochastic Dynamic Programming : Finite Element Methods

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

Overview

11 Scopus Citations

Scopus Metrics

View graph of relations

Author(s)

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

Detail(s)

Original language	English
Pages (from-to)	197-218
Journal / Publication	Linear Algebra and Its Applications
Volume	172
Publication status	Published - 15 Jul 1992
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1016/0024-3795(92)90026-7 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-38249013565&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(5dc85ba9-b0fc-4174-b191-3e8725d116ee).html

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.