Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming

2008 ◽  
pp. 137-153 ◽  
Author(s):  
Kurt Helmes ◽  
Richard H. Stockbridge
Keyword(s):  
Optimal Control ◽  
Linear Programming ◽  
Stochastic Processes ◽  
Singular Stochastic Processes

Algorithm for optimal allocation of limited resources based on the game iteration method

2019 ◽  
pp. 89-99
Author(s):  
V. Ya. Vilisov
Keyword(s):  
Optimal Control ◽  
Linear Programming ◽  
Embedded Systems ◽  
Iterative Method ◽  
High Speed ◽  
Optimal Allocation ◽  
Software Implementation ◽  
Limited Resources ◽  
Matrix Game ◽  
Acceptable Accuracy

The article proposes an algorithm for solving a linear programming problem (LPP) based on the use of its representation in the form of an antagonistic matrix game and the subsequent solution of the game by an iterative method. The algorithm is implemented as a computer program. The rate of convergence of the estimates of the solution to the actual value with the required accuracy has been studied. The software implementation shows a high speed of obtaining the LPP solution with acceptable accuracy in fractions or units of seconds. This allows the use algorithm in embedded systems for optimal control.

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