Stochastic Control Problems and Numerical Methods

9302137库什纳，该项目涉及随机控制的几个基本领域，重点是数值方法。PI最近出版了一本关于这个主题的书，这些技术允许有效地处理许多标准类型的问题。这些技巧适用于确定性问题，并对变分中出现的困难问题给出了例子(证明和数据)。其目的是通过数值可能性鼓励随机系统方法的更广泛使用。该方案还涉及复杂控制系统中的各种逼近和极限问题。例如，通信中网络中的接纳和路由控制，当有多个类别的客户并且工作处于繁忙的通信量区域时。这里有一些重要的数学问题。相关的数值问题也令人感兴趣。***

9302137 Kushner The project deals with several basic areas in stochastic control with emphasis on numerical methods. The PI has recently published a book on the subject, and the techniques allow the effective treatment of many of the standard types of problems. The techniques are applicable to deterministic problems and examples (and proofs and data) are given for hard problems arising in the calculus of variations. The aim is to encourage the wider use of stochastic systems methods via the numerical possibilities. The proposal also concerns a variety of approximation and limit problems in complex control systems. For example, the control of admission and routing in networks in communications, when there are several classes of customers and the work is in the heavy traffic regime. There are significant mathematical problems here. The associated numerical problem is also of interest. ***