An optimal one-way multigrid algorithm for discrete-time stochastic control
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Publication:3981753
DOI10.1109/9.133184zbMath0752.93078OpenAlexW2146290970MaRDI QIDQ3981753
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
numerical solutionsuccessive approximation algorithminfinite-horizon discounted stochastic control problems
Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)
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