Title :
Software development and testing for certain time-dependent problems of stochastic optimal control
Author :
Belbas, S.A. ; Choi, Wan-Sik
Author_Institution :
Dept. of Math., Alabama Univ., Tuscaloosa, AL, USA
Abstract :
The essential features of software development and testing for parabolic Bellman equations and systems of parabolic quasi-variational inequalities are outlined. The software is based on theoretical algorithms. These algorithms, in turn, are based on several discretization schemes for fully nonlinear parabolic partial differential equations (Bellman equations) and systems of quasi-variational inequalities of the `switching´ type
Keywords :
control engineering computing; nonlinear differential equations; optimal control; parabolic equations; partial differential equations; program testing; software engineering; stochastic systems; variational techniques; Bellman equations; discretization schemes; fully nonlinear parabolic partial differential equations; parabolic Bellman equations; parabolic quasi-variational inequalities; software development; software testing; stochastic optimal control; switching type inequalities; time-dependent problems; Cost function; Differential equations; Diffusion processes; Mathematics; Nonlinear equations; Optimal control; Partial differential equations; Programming; Software algorithms; Software testing; Stochastic processes; System testing;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371018
