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Full-Text Articles in Physical Sciences and Mathematics
On The Numerical Approximations Of An Optimal Correction Problem, M. C. Bancora-Imbert, P. L. Chow, J. L. Menaldi
On The Numerical Approximations Of An Optimal Correction Problem, M. C. Bancora-Imbert, P. L. Chow, J. L. Menaldi
Mathematics Faculty Research Publications
The numerical solution of an optimal correction problem for a damped random linear oscillator is studied. A numerical algorithm for the discretized system of the associated dynamic programming equation is given. To initiate the computation, we adopt a numerical scheme derived from the deterministic version of the problem. Next, a correction-type algorithm based on a discrete maximum principle is introduced to ensure the convergence of the iteration procedure.