Parallel stochastic dynamic programming: Finite element methods
type: Item
instance of: scholarly article
title: Parallel stochastic dynamic programming: Finite element methods
zbMATH Open document ID: 0765.65063
DOI: 10.1016/0024-3795(92)90026-7
author: S. Singh
published in: Linear Algebra and its Applications
publication date: 1992-09-27T00:00:00Z
review text: A multidimensional Markov dynamical system with continuous time is considered. The system includes a jump Poisson process and Gaussian motion as well as nonlinearities. A performance criterion of the system is introduced. It includes instantaneous cost and terminal cost functions. The general objective is to optimize the expected value of the performance criterion over a finite time horizon. This problem reduces to the problem of solving the Bellman functional equation of dynamic programming. To solve it the authors use the Galerkin approximation in the state space. This approach leads to a system of nonlinear algebraic equations. To this system the Crank-Nicholson predictor-corrector scheme is applied. Stability and convergence of the described method are verified. It is shown that the computer storage requirements for the proposed method are much weaker than those for the finite difference method.
reviewed by: Piotr Staniewski
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 64488
zbMATH Keywords: parallel stochastic dynamic programming
zbMATH Keywords: finite element methods
zbMATH Keywords: stochastic control
zbMATH Keywords: stability
zbMATH Keywords: multidimensional Markov dynamical system
zbMATH Keywords: continuous time
zbMATH Keywords: jump Poisson process
zbMATH Keywords: Gaussian motion
zbMATH Keywords: Bellman functional equation
zbMATH Keywords: dynamic programming
zbMATH Keywords: Crank-Nicholson predictor- corrector scheme
zbMATH Keywords: convergence
Wikidata QID: Q114852067
MaRDI profile type: MaRDI publication profile
full work available at URL: 0024-3795(92)90026-7
OpenAlex ID: W2016277608
cites work: Q4404205
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description: scientific article; zbMATH DE number 64488