Numerical Methods for Control of Large Complex Nonlinear Manufacturing Systems

摘要

This report documents codes for the numerical solution of control and optimalcontrol problems for diffusion or reflected diffusion models in dimensions two to four and for continuous time Markov chain control problems where the state space of the chain is a grid in such a Euclidean Space. The control appears linearly in the dynamics and cost function but otherwise the process and cost function are general. The underlying numerical methods use efficient forms of the approximation in policy space and multigrid type methods, based on the Markov chain approximation method of 7.