Numerical Algorithms for Optimal Controls for Nonlinear Stochastic Systems With Delays $ $

Abstract

The Markov chain approximation numerical methods were extended to general controlled nonlinear (and reflected) diffusions with delays in a recent monograph, where many types of ideal algorithms were developed and convergence proved. Any combination of the path, control, and reflection terms can be delayed. If the control and/or reflection terms are delayed, then the memory requirements with naive algorithms can be huge. Recasting the problem in terms of a “wave equation” yields algorithms with considerably reduced memory needs. The reference concentrated on theoretical issues. Here, we are concerned with adapting the ideal to applications, and present data showing that the method can work well.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 16 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.