Title :
Accelerated procedures for the solution of discrete Markov control problems
Author_Institution :
Brown University, Providence, RI, USA
fDate :
4/1/1971 12:00:00 AM
Abstract :
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.
Keywords :
Markov processes; Numerical methods; Optimal control; Optimal stochastic control; Stochastic optimal control; Acceleration; Cost function; Distributed computing; Dynamic programming; Finite difference methods; Military computing; Nonlinear equations; Operations research; Optimal control; State-space methods;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1971.1099667
