Singular Stochastic Control Problems Solved by a Sparse Simplex Method

1 March 1989

journal article
Published by Oxford University Press (OUP) in IMA Journal of Mathematical Control and Information

Vol. 6 (1) , 27-38
https://doi.org/10.1093/imamci/6.1.27

Abstract

Numerical solutions of singular stochastic control problems in bounded intervals are obtained by a sparse linear-programming algorithm. The algorithm terminates in a finite number of iterations in the absence of roundoff errors. Applications to other problems in control theory are discussed.

Keywords

SIMPLEX METHOD
SPARSE SIMPLEX
PROBLEMS SOLVED
CONTROL PROBLEMS
SINGULAR STOCHASTIC CONTROL

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