Parallel stochastic dynamic programming: Finite element methods

DOI10.1016/0024-3795(92)90026-7zbMath0765.65063OpenAlexW2016277608WikidataQ114852067 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

stabilityconvergencedynamic programmingstochastic controlfinite element methodscontinuous timeBellman functional equationCrank-Nicholson predictor- corrector schemeGaussian motionjump Poisson processmultidimensional Markov dynamical systemparallel stochastic dynamic programming

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (3)

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

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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