An optimal one-way multigrid algorithm for discrete-time stochastic control

DOI10.1109/9.133184MaRDI QIDQ3981753zbMATH OpenOpenAlexFDO

Authors Chee-Seng Chow, John N. Tsitsiklis

Publication date 26 June 1992

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.133184

zbMATH Keywords

infinite-horizon discounted stochastic control problemsnumerical solutionsuccessive approximation algorithm

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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