Accession Number : ADA332742

Title :   Codes for Optimal Stochastic Control: Documentation and Users Guide

Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Jarvis, Dennis ; Kushner, Harold J.

PDF Url : ADA332742

Report Date : MAY 1996

Pagination or Media Count : 58

Abstract : This report documents codes for the numerical solution of control and optimal control problems for diffusion or reflected diffusion models in dimensions two to four and for continuous time Markov chain control problems where the state space of the chain is a grid in such a Euclidean space. The control appears linearly in the dynamics and cost function but otherwise the process and cost function are general. The underlying numerical methods use efficient forms of the approximation in policy space and multigrid type methods, based on the Markov chain approximation method of 7.

Descriptors :   *MARKOV PROCESSES, *STOCHASTIC CONTROL, USER MANUALS, FUNCTIONS, OPTIMIZATION, MODELS, DYNAMICS, GRIDS, NUMERICAL ANALYSIS, CODING, APPROXIMATION(MATHEMATICS).

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE