Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems

该项目涉及快速和 最优反馈控制的有效算法 连续时间非线性动力系统，受 高斯和泊松白色噪声。 的计算处理 泊松噪声是该提议的一个特别独特的特征。 向量多处理器计算的快速算法正在被 开发的，利用矢量公式的优势， 问题和算法的其他可并行部分。 另一个重要的特点是， 这项工作有助于消除贝尔曼的“维数灾难”。

This project is concerned with the development of fast and efficient algorithms for the optimal feedback control of continuous time nonlinear dynamical systems, perturbed by Gaussian and Poisson white noise. The computational treatment of Poisson noise is a particularly unique feature of this proposal. Fast algorithms for vector multiprocessor computations are being developed that take advantage of vector formulation of the problem and other parallelizeable parts of the algorithm. Another important feature is that the advanced computing aspects of this work help remove Bellman's "curse of dimensionality".