Parallel stochastic dynamic programming: Finite element methods

DOI10.1016/0024-3795(92)90026-7zbMath0765.65063WikidataQ114852067 ScholiaQ114852067MaRDI QIDQ1194519

S. Singh

Publication date: 27 September 1992

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(92)90026-7

zbMATH Keywords

stability; convergence; dynamic programming; stochastic control; finite element methods; continuous time; Bellman functional equation; Crank-Nicholson predictor- corrector scheme; Gaussian motion; jump Poisson process; multidimensional Markov dynamical system; parallel stochastic dynamic programming

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

65K10: Numerical optimization and variational techniques

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

93E20: Optimal stochastic control

Related Items

Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints, Parallel stochastic dynamic programming: Finite element methods, Solving the stochastic growth model with a finite element method

Cites Work

• Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
• Parallel stochastic dynamic programming: Finite element methods
• Numerical analysis for a model of kinetic theory of long range potentials
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