Software development and testing for certain time-dependent problems of stochastic optimal control

S A Belbas ,Won-Sik Choi

doi:10.1109/cdc.1992.371018

Software development and testing for certain time-dependent problems of stochastic optimal control

S A Belbas , Won-Sik Choi

https://doi.org/10.1109/cdc.1992.371018

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Publication Date: Dec 16, 1992

Affiliation: University of Alabama

#Nonlinear Parabolic Partial Differential Equations #Systems Of Quasi-variational Inequalities + Show 8 more

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Abstract

The essential features of software development and testing for parabolic Bellman equations and systems of parabolic quasi-variational inequalities are outlined. The software is based on theoretical algorithms. These algorithms, in turn, are based on several discretization schemes for fully nonlinear parabolic partial differential equations (Bellman equations) and systems of quasi-variational inequalities of the 'switching' type. >

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