Idempotent Method for Continuous-Time Stochastic Control and Complexity Attenuation
نویسندگان
چکیده
We consider a min-plus based numerical method for solution of finite timehorizon control of nonlinear diffusion processes. The approach belongs to the class of curseof-dimensionality-free methods. The min-plus distributive property is required. The price to pay is a very heavy curse-of-complexity. These methods perform well due to the complexityattenuation step. This projects the solution down onto a near-optimal min-plus subspace.
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تاریخ انتشار 2011