Codes for Optimal Stochastic Control: Documentation and Users Guide

Abstract

This report documents codes for the numerical solution of control and optimal control problems for diffusion or reflected diffusion models in dimensions two to four and for continuous time Markov chain control problems where the state space of the chain is a grid in such a Euclidean space. The control appears linearly in the dynamics and cost function but otherwise the process and cost function are general. The underlying numerical methods use efficient forms of the approximation in policy space and multigrid type methods, based on the Markov chain approximation method of 7.

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1996
Accession Number
ADA332742

Entities

People

  • Dennis Jarvis
  • Harold J. Kushner

Organizations

  • Brown University

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Applied Mathematics
  • Communication Systems
  • Compilers
  • Computational Science
  • Computations
  • Computer Programs
  • Equations
  • Markov Chains
  • Mathematics
  • Numbers
  • Probability
  • Real Numbers
  • Real Variables
  • Stochastic Control
  • Three Dimensional
  • Two Dimensional

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Computational Modeling and Simulation
  • Robotics and Automation.

Technology Areas

  • Space
  • Space - Spacecraft Maneuvers