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Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems

Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems
连续时间问题的高级计算随机动态规划
批准号:
9102343
负责人:
Floyd Hanson
金额:
$7.1万
依托单位国家:
美国
项目类别:
Standard Grant
财政年份:
1991
资助国家:
美国
项目状态:
已结题
起止时间:
1991-07-15 至 1994-06-30

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中文摘要
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英文摘要
The objective of this research is to develop fast algorithms for the optimal feedback control of general continuous time stochastic dynamical systems. These stochastic dynamical systems include perturbations by both Gaussian and Poisson white noise. The computational treatment of the optimal feedback control of general, nonlinear, stochastic differential equations with Markov noise in continuous time, including Poisson noise, is a particularly unique feature of this project. The algorithms are being tested on multi-state resource models, but are applicable to a wide variety of applications. The numerical approach directly treats the partial differential equation of stochastic dynamic programming. New data structures and algorithms, such as finite element and multigrid methods, will be developed to alleviate both memory and computation intensive demands from the "curse of dimensionality". Purely parallel methods are being developed for scalable, massively parallel processors and massive memory supercomputers. Results give the optimal feedback control variables and the expected optimal performance index in terms of state variables and time. Large scale scientific computing is essential for managing the computational and memory demands in the optimal control of large applications, such as aerospace dynamics, flexible structures, resources, economics and robotics. The implementation of advanced computational techniques, such as parallelization, vectorization and optimal data structures, make it possible to solve problems of larger dimension.
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Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems
  • 批准号:
    0207081
  • 项目类别:
    Continuing Grant
  • 资助金额:
    $30.21万
  • 财政年份:
    2002
  • 负责人:
    Floyd Hanson
  • 依托单位:
Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems
  • 批准号:
    9973231
  • 项目类别:
    Standard Grant
  • 资助金额:
    $18.91万
  • 财政年份:
    1999
  • 负责人:
    Floyd Hanson
  • 依托单位:
Mathematical Sciences: Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems
  • 批准号:
    9626692
  • 项目类别:
    Standard Grant
  • 资助金额:
    $10.2万
  • 财政年份:
    1996
  • 负责人:
    Floyd Hanson
  • 依托单位:
Mathematical Sciences: Advanced Computational Stochastic Dynamic Programming for Continuous Time Problems
  • 批准号:
    9301107
  • 项目类别:
    Continuing Grant
  • 资助金额:
    $9.0万
  • 财政年份:
    1993
  • 负责人:
    Floyd Hanson
  • 依托单位:
国内基金
海外基金
Computational Methods for Analyzing Toponome Data