The Linear Programming Approach to Optimal Stochasic Control

最优随机控制的线性规划方法

• 批准号: 9803490
• 负责人: Richard Stockbridge
• 金额: $ 10.23万
• 依托单位: University of Kentucky Research Foundation
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1998
• 资助国家: 美国
• 起止时间: 1998-07-01 至 2002-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9803490&HistoricalAwards=false
• 关键词: Linear; Programming; Approach; Optimal; Stochasic

9803490StockbridgeThe main goal of the proposed research is to further develop the linearprogramming approach to optimal stochastic control and to make thissolution technique applicable to all types of stochastic control problems, including stopping time problems, impulse control, singular control and adaptive control problems. This approach will also be used to analyze complex models in areas as diverse as mathematical finance andquality control.A major benefit of the LP approach is that it naturally lends itselfto numerical methods. Two approaches will be pursued: a discretization technique and the method of moments. A significant part of the grant will be devoted to implementing and testing numerical schemes using linear programming software to compute optimal controls.

本研究的主要目的是进一步发展最优随机控制的线性规划方法，使其适用于所有类型的随机控制问题，包括停止时间问题、脉冲控制问题、奇异控制问题和自适应控制问题。这种方法也将被用来分析数学金融和质量控制等不同领域的复杂模型。线性规划方法的一个主要好处是它自然地将自己献给了数值方法。将采用两种方法：离散化技术和矩方法。赠款的很大一部分将用于使用线性规划软件执行和测试数值方案，以计算最优控制。