Discretizing Dynamic Programs

Abstract

Except in rare cases, it is necessary to discretize uncountable-state dynamic programs to obtain even an approximate solution. The paper assumes in the first two sections that the state space is compact, and so a finite grid can be constructed so that any point in the space is in the neighborhood of a grid point. The problem is to find conditions such that the approximations coverage to the solution of the original problem as the mesh becomes finer.

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1970
Accession Number
AD0705463

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  • B. L. Fox

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  • RAND Corporation

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  • Mathematics

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  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)

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