Parallel Stochastic Dynamic Programming: Finite Element Methods
نویسنده
چکیده
A finite element method for stochastic dynamic programming is developed. The computational method is valid for a general class of optimal control problems that are nonlinear and perturbed by general Markov noise in continuous time, including jump Poisson noise. Stability and convergence of the method are verified and its storage utilization efficiency over the traditional finite difference method is demonstrated. This advanced numerical technique, together with parallel computation, helps to alleviate Bellman’s curse of dimensionality by permitting the solution of larger problems.
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