The Numerical Solution of Sequential Decision Problems Involving Parabolic Equations with Moving Boundaries | Zendy

Jorge Vicente Malik Lindley | Zendy; A.A. Wragg | Zendy

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The Numerical Solution of Sequential Decision Problems Involving Parabolic Equations with Moving Boundaries

Author(s) -

Jorge Vicente Malik Lindley,

A.A. Wragg

Publication year - 1966

Publication title -

the computer journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.319

H-Index - 64

eISSN - 1460-2067

pISSN - 0010-4620

DOI - 10.1093/comjnl/9.3.294

Subject(s) - stefan problem , mathematics , continuation , boundary (topology) , parabolic partial differential equation , free boundary problem , function (biology) , partial differential equation , boundary problem , class (philosophy) , mathematical optimization , boundary value problem , optimal stopping , mathematical analysis , numerical analysis , computer science , artificial intelligence , evolutionary biology , biology , programming language

Numerical methods are described for finding the boundary separating the continuation and stopping regions for a class of sequential decision problems whose minimal cost function satisfies a parabolic partial differential equation. The problem is shown to be similar to that of finding the moving boundary in Stefan problems, and techniques used in the solution of Stefan problems are modified for use in decision problems. Numerical results for a particular sequential decision problem are given.

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