Accelerated procedures for the solution of discrete Markov control problems

1 April 1971

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 16 (2) , 147-152
https://doi.org/10.1109/tac.1971.1099667

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

ACCELERATION
OPTIMAL CONTROL
COST FUNCTION
NONLINEAR EQUATIONS
DYNAMIC PROGRAMMING
STATE-SPACE METHODS
DISTRIBUTED COMPUTING
MILITARY COMPUTING
OPERATIONS RESEARCH
FINITE DIFFERENCE METHODS

This publication has 1 reference indexed in Scilit:

Numerical methods for the solution of the degenerate nonlinear elliptic equations arising in optimal stochastic control theory
IEEE Transactions on Automatic Control, 1968