Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems

这个项目是关于发展快速和有效的算法的最优反馈控制的连续时间非线性动力系统，由高斯和泊松白噪声干扰。泊松噪声的计算处理是这个提议的一个特别独特的特点。矢量多处理器计算的快速算法正在开发中，它利用了问题的矢量公式和算法的其他可并行部分。另一个重要的特点是，这项工作的高级计算方面有助于消除Bellman的“维度诅咒”。

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".