Generalized dynamic programming and its applications (Q1342628)

The authors' general iterative procedures of dynamic programming type [see Autom. Remote Control 54, No. 12, pt. 2, 1812-1819 (1993; Zbl 0837.90120)] are applied here to three important classes of problems: optimal control for discrete dynamical systems with randomness, minimax and stochastic problems of mathematical programming and evaluation of multiple integrals. The authors describe the way in which their generalized dynamic programming method may be used to each of these problems to the effect of diminishing the number of computations, especially for problems in large dimensions.