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IMA Journal of Mathematical Control and Information 1989 6(1):27-38; doi:10.1093/imamci/6.1.27
© 1989 by Institute of Mathematics and its Applications
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Singular Stochastic Control Problems Solved by a Sparse Simplex Method

MIN SUN

Department of Applied Mathematical Sciences, University of Houston–Downtown Houston, TX 77002, U.S.A.

Numerical solutions of singular stochastic control problems in bounded intervals are obtained by a sparse linear-programming algorithm. The algorithm terminates in a finite number of iterations in the absence of roundoff errors. Applications to other problems in control theory are discussed.


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