Stochastic dynamic programming: advanced computing constructs

Author

Hanson, F.B.

Author_Institution

Dept. of Math., Stat. & Comput. Sci., Illinois Univ., Chicago, IL, USA

fYear

1989

fDate

13-15 Dec 1989

Firstpage

901

Abstract

A method for fast and efficient numerical solution of stochastic dynamic programming problems is described. The problems arise in optimal control of nonlinear, continuous-time dynamical systems, perturbed by Poisson as well as Gaussian random white noise. The numerical formulation is highly suitable for a vector multiprocessor or vectorizing supercomputer. Advanced computing techniques and hardware help alleviate Bellman´s curse of dimensionality in dynamic programming computations

Keywords

computational complexity; dynamic programming; nonlinear control systems; numerical methods; optimal control; stochastic programming; Gaussian random white noise; Poisson noise; advanced computing constructs; continuous-time systems; curse of dimensionality; dynamical systems; efficient numerical solution; nonlinear systems; optimal control; stochastic dynamic programming; vector multiprocessor; vectorizing supercomputer; Cost function; Dynamic programming; Feedback control; Optimal control; Stochastic processes; Stochastic resonance; Stochastic systems; Stress control; Switches; White noise;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1989., Proceedings of the 28th IEEE Conference on

Conference_Location

Tampa, FL

Type

conf

DOI

10.1109/CDC.1989.70252

Filename

70252