An optimal multigrid algorithm for discrete-time stochastic control

Chow, Chee-Seng.; Tsitsiklis, John N.; Massachusetts Institute of Technology. Laboratory for Information and Decision Systems.

Date: 2013-06-05

Chee-Seng Chow, John N. Tsitsiklis.

Cover title. "A preliminary version of this paper was presented at the 27th IEEE Conference on decision and control."

Includes bibliographical references.

Supported by the NSF, with matching funds from Bellcore and Dupont. ECS-8552419 Supported by the ARO. DAAL03-86-K-0171

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