发明授权
- 专利标题: Method for solving stochastic control problems of linear systems in high dimension
- 专利标题(中): 高维线性系统随机控制问题的求解方法
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申请号: US09607513申请日: 2000-06-28
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公开(公告)号: US07117130B1公开(公告)日: 2006-10-03
- 发明人: Nimrod Megiddo
- 申请人: Nimrod Megiddo
- 申请人地址: US NY Armonk
- 专利权人: International Business Machines Corporation
- 当前专利权人: International Business Machines Corporation
- 当前专利权人地址: US NY Armonk
- 代理机构: Gates & Cooper LLP
- 主分类号: G06F17/10
- IPC分类号: G06F17/10
摘要:
Stochastic control problems of linear systems in high dimensions are solved by modeling a structured Markov Decision Process (MDP). A state space for the MDP is a polyhedron in a Euclidean space and one or more actions that are feasible in a state of the state space are linearly constrained with respect to the state. One or more approximations are built from above and from below to a value function for the state using representations that facilitate the computation of approximately optimal actions at any given state by linear programming.