论文信息 - Accelerated procedures for the solution of discrete Markov control problems

Accelerated procedures for the solution of discrete Markov control problems

Accelerated procedures for computing optimal controls for a Markov chain model are discussed and numerical results are presented. For the example, one of the methods described gave a ten-fold decrease in computation time over a more usual procedure of dynamic programming.

Harold J. Kushner | A. Kleinman | H. Kushner | A. Kleinman

[1] H. Kushner,et al. Numerical methods for the solution of the degenerate nonlinear elliptic equations arising in optimal stochastic control theory , 1968 .