Floyd B. Hanson

Professor Emeritus
Laboratory for Advanced Computing
Laboratory for Control and Information
Department of Mathematics, Statistics, and Computer Science
University of Illinois at Chicago


Annotated Publication Preprints in
Computational Stochastic Dynamic Programming

(Most recent papers with preprint links.)


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Some of our important results concern advanced computation for general stochastic dynamic programming of the optimal control of continuous time stochastic differential equations, and much of it has been supported by a series of National Science Foundation Awards (See acknowledgements below). Preprints of most recent papers, marked by highlighted titles, are downloadable by clicking on the highlighted title.


31. F. B. Hanson, Vector multiprocessor implementation for stochastic dynamic programming, IEEE Distributed Processing Technical Committee Newsletter, vol. 10, pp. 44-48, 1988.

33. F. B. Hanson, Parallel computation for stochastic dynamic programming: Row versus column code orientation, Proc. 1988 IEEE Conf. on Parallel Processing, Vol. III Algorithms and Applications, pp. 117-119, August 1988.

36. F. B. Hanson, Stochastic Dynamic Programming: advanced Computing Constructs , in Proc. 28th IEEE Conf. on Decision and Control, vol. 1, pp. 901-903, December 1989.

37. F. B. Hanson, Parallel and Vector Computation for Optimal Control Applications , in Proc. 3rd Annual Conference on Aerospace Computational Control, JPL Publication 85-45, Vol. 1, D. E. Bernard and G. K. Man, Editors, Jet Propulsion Laboratory, Pasadena, pp. 184-197, December 1989.

40. S.-L. Chung and F. B. Hanson, Parallel Optimizations for Computational Stochastic Dynamic Programming , in Proc. 1990 Int. Conf. on Parallel Processing, Vol. III Algorithms and Applications, pp. 254-260, August 1990.

42. S.-L. Chung and F. B. Hanson, Optimization Techniques for Stochastic Dynamic Programming , in Proc. 29th IEEE Conf. on Decision and Control, vol. 4, pp. 2450-2455, December 1990.

44. S.-L. Chung, F. B. Hanson and H. Xu, Supercomputer Optimizations for Stochastic Optimal Control Applications , in Proc. 4th NASA Workshop on Computational Control of Flexible Aerospace Systems, NASA Conf. Publ. 10065, Part 1, L. W. Taylor, Editor, NASA Langley Research Center, pp. 57-70, March 1991.

45. F. B. Hanson, Computational Dynamic Programming on a Vector Multiprocessor , IEEE Trans. Automatic Control, vol. 36(4), pp. 507-511, April 1991.

46. H. H. Xu, F. B. Hanson and S.-L. Chung, Optimal Data Parallel Methods for Stochastic Dynamic Programming , in Proc. 1991 Int. Conf. on Parallel Processing, Vol. III Algorithms and Applications, pp. 142-146, August 1991.

47. H. H. Xu, F. B. Hanson and S.-L. Chung, Data Parallel Solutions of Dimensionality Problems in Stochastic Dynamic Programming , in Proc. 30th IEEE Conf. on Decision and Control, vol. 2, pp. 1717-1723, December 1991.

48. F. B. Hanson, D. J. Jarvis and H. H. Xu, Applications of FORALL-Formed Computations in Large Scale Stochastic Dynamic Programming , Proc. Scalable High Perf. Comp. Conf.: SHPCC-92, IEEE Computer Society, pp. 182-185, April 1992.

49. H. H. Xu, D. J. Jarvis and F. B. Hanson, Parallel Data Vault Methods for Larger Scale Stochastic Dynamic Programming , in Proc. 1992 Amer. Control Conf., vol. 1, pp. 142-146, June 1992.

50. S.-L. Chung, F. B. Hanson and H. H. Xu, Parallel Stochastic Dynamic Programming: Finite Element Methods , Lin. Alg. Applic., vol. 172, pp. 197-218, July 1992.

51. C. J. Pratico, F. B. Hanson, H. H. Xu, D. J. Jarvis and M. S. Vetter, Visualization for the Management of Renewable Resources in an Uncertain Environment , Proc. Supercomputing '92 , pp. 258-266, color plates p. 843, November 1992.

52. F. B. Hanson, C. J. Pratico, M. S. Vetter, and H. H. Xu, Multidimensional Visualization Applied to Renewable Resource Management, Proc. Sixth SIAM Conference on Parallel Processing for Scientific Computing, vol. 2, pp. 1033-1036, March 1993.

53 [D&C93]. K. Naimipour and F. B. Hanson, Convergence of a Numerical Method for the Bellman Equation of Stochastic Optimal Control with Quadratic Costs and Constrained Control , Dynamics and Control, vol. 3(3), pp.237-259, July 1993.

54 [IFAC93]. F. B. Hanson and K. Naimipour, " Convergence of Numerical Method for Multistate Stochastic Dynamic Programming ," Proc. Int. Federation of Automatic Control 12th World Congress, vol. 9, pp. 501-504, July 1993.

56 [CDC94]. F. B. Hanson and J. J. Westman, " Computational Stochastic Dynamic Programming Problems: Groundwater Quality Remediation, " in Proc. 33th IEEE Conf. on Decision and Control, vol. 1, pp. 455-460, December 1994.

57 [ICCI95]. F. B. Hanson and J. J. Westman, " Parallel Stochastic Dynamic Programming Applications: Spatial and State Finite Elements, " Proceedings of International Conference on Control and Information, The Chinese University Press, Chinese University of Hong Kong, Sha Tin, Hong Kong, pp. 145-150, June 1995.

58 [CADS96]. F. B. Hanson, " Techniques in Computational Stochastic Dynamic Programming, " in Stochastic Digital Control System Techniques, within series Control and Dynamical Systems: Advances in Theory and Applications, vol. 76, (C. T. Leondes, Editor), Academic Press, New York, NY, pp. 103-162, Invited Book Chapter, April 1996.

61 [ACC97]. John J. Westman and Floyd B. Hanson, The LQGP problem: a manufacturing application, in Proceedings of 1997 American Control Conference, vol. 1, American Automatic Control Council, pp. 566-570, June 1997. (paper presented in Session WM06 on 04 June 1997; Westman won a Finalist Award of $700 in the Best Student Paper Competition; for color copy of preprint or slides click here).

62 [D&C97] R. M. Abu-Saris and F. B. Hanson, " Computational Efficient Suboptimal Filter for a Class of Wiener-Poisson Driven Stochastic Processes, " Dynamics and Control, vol. 7, no. 3, pp. 279-292, July 1997.

65 [SIAMCCIA98poster]. J. J. Westman and Floyd B. Hanson, "Stochastic Optimal Control for Palliative Treatment of Cancer Using Chemotherapy and Radiotherepy", awarded the Best Poster Presentation at the Fourth SIAM Conference on Control and Its Applications, held May 7-9, 1998 in Jacksonville, Florida; Poster Presentation by Westman.

65 [ACC98]. J. J. Westman and Floyd B. Hanson, " The NLQGP Problem: Application to a Multistage Manufacturing System ," in Proceedings of 1998 American Control Conference, American Automatic Control Council, vol. 2, pp. 1104-1108, June 1998. (paper presented in Session W08 on 24 June 1998; again Westman won a Finalist Award of $700 in the Best Student Paper Competition).

66 [CIMASI98]. Floyd B. Hanson and J. J. Westman, " Nonlinear State Dynamics, Computational Approximations and Multistage Manufacturing System Application ," in Proc. Deuxième Conférence Internationale Sur les Mathématiques Appliquées et les Sciences de l'Ingénieur (CIMASI'98), Ecole Supérierure de Technologie de Casablanca, Morocco, vol. 2, pp. 736-739, 27 October 1998.

67 [CDC98]. Daniel L. Kern and Floyd B. Hanson, "Systematic Perturbations of Discrete-Time Stochastic Dynamical Systems," in Proc. 37th IEEE Conference on Decision and Control, pp. 1871-1876, December 1998.

68 [ACC99k]. Daniel L. Kern and Floyd B. Hanson, " Filtering Approximation Using Systematic Perturbations of a Discrete-Time Stochastic Dynamical System," Proceedings of 1999 American Control Conference, Paper no. ACC99-IEEE0116, pp. 445-449, June 1999.

69 [ACC99w]. J. J. Westman and Floyd B. Hanson, " Computational Method for Nonlinear Stochastic Optimal Control, " Proceedings of 1999 American Control Conference, Paper no. ACC99-IEEE0038, pp. 2798-2802, June 1999.

70 [CDC99]. J. J. Westman and Floyd B. Hanson, " State Dependent Jump Models in Optimal Control," in Proceedings of 38th IEEE Conference on Decision and Control, pp. 2378-2384, 07 December 1999.

71 [IJC00]. J. J. Westman and F. B. Hanson, " Nonlinear State Dynamics: Computational Methods and Manufacturing Application," International Journal of Control, pp. 464-480, April 2000.

72 [MTNS00]. F. B. Hanson and J. J. Westman, " Computational Stochastic Multistage Manufacturing Systems with Strikes and Other Adverse Random Events," Proceedings of Mathematical Theory of Networks and Systems, 2000, 10 pages, 19 June 2000.

73 [ACC00]. J. J. Westman and F. B. Hanson, " MMS Production Scheduling Subject to Strikes in Random Environments ," Proceedings of 2000 American Control Conference, Paper no. ACC00-IEEE1327, pp. 2194-2198, 28 June 2000.

74 [CCA00]. J. J. Westman and Floyd B. Hanson, " Manufacturing Production Scheduling with Preventive Maintenance in Random Environments ," Proceedings of IEEE International Conference on Control and Applications, pp. 582-587, 25 Septmber 2000.

75 [ACC01mfg]. J. J. Westman, F. B. Hanson and E. K. Boukas, " Optimal Production Scheduling for Manufacturing Systems with Preventive Maintenance in an Uncertain Environment ," Proceedings of 2001 American Control Conference, pp. 1375-1380, 25 June 2001.

76 [ACC01fin]. F. B. Hanson and J. J. Westman, " Optimal Consumption and Portfolio Policies for Important Jump Events: Modeling and Computational Considerations ," Proceedings of 2001 American Control Conference, pp.4456-4661, 25 June 2001.

77 [CDC01]. J. J. Westman, E. K. Boukas and F. B. Hanson, " Optimal Production Scheduling for Manufacturing Systems with Preventive Maintenance and Finite Buffers," Proceedings of 2001 Conference on Decision and Control, pp. 2343-2348, 04 December 2001.

78 [ACC02]. F. B. Hanson and J. J. Westman, " Optimal Consumption and Portfolio Control for Jump-Diffusion Stock Process with Log-Normal Jumps (corrected), " Proceedings of 2002 American Control Conference, pp. 4256-4261, 8 May 2002.

79 [CMS02]. Daniel L. Kern, J. J. Westman and Floyd B. Hanson, " Locally Optimal Pumping and Treatment Rates in Uncertain Environments ," in Fluid Flow and Transport in Porous Media: Mathematical and Numerical Treatment, AMS Contempory Mathematics, vol. 295, edited by Zhangxin Chen and Richard E. Ewing, pp. 305-315, July 2002.

80 [KU02FM]. Floyd B. Hanson and J. J. Westman, " Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (corrected)," in Stochastic Theory and Control, Proceedings of a Workshop held in Lawrence, Kansas, October 18-20, 2001, Lecture Notes in Control and Information Sciences, B.Pasik-Duncan (Editor), Springer-Verlag, New York, pp. 169-184, 24 July 2002 (invited paper).

83 [MTNS02FMB]. F. B. Hanson and J. J. Westman, " Computational Methods for Portfolio and Consumption Optimization in Log-Normal Diffusion, Log-Uniform Jump Environments," Proceedings of the 15th International Symposium on Mathematical Theory of Networks and Systems, 9 pages, 12 August 2002 (invited paper).

84 [MTNS02FMT]. F. B. Hanson and J. J. Westman, " Jump-Diffusion Stock Return Models in Finance: Stochastic Process Density with Uniform-Jump Amplitude," Proceedings of the 15th International Symposium on Mathematical Theory of Networks and Systems, 7 pages, 12 August 2002 (invited paper).

85 [CDC02]. F. B. Hanson and J. J. Westman, " Portfolio Optimization with Jump--Diffusions: Estimation of Time-Dependent Parameters and Application," Proceedings of 2002 Conference on Decision and Control, pp. 377-382, 09-13 December 2002, invited paper CDC02-INV0302.

86 [ACC03]. F. B. Hanson and J. J. Westman, " Jump--Diffusion Stock-Return Model with Weighted Fitting of Time-Dependent Parameters," Proceedings of 2003 American Control Conference, pp. 4869-4874, 04 June 2003.

88 [CDC03]. Floyd B. Hanson, Computational Stochastic Control: Basic Foundations, Complexity and Techniques, Proceedings of 2003 Conference on Decision and Control, Invited Poster/Interactive Paper in a Control Education Session, pp. 3024-3029, December 2003.

Longer 9 page Submitted Version.

89 [TAC04]. Floyd B. Hanson and John J. Westman, "Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods," Trans. Automatic Control, vol. 49, no. 3, Special Issue on Stochastic Control Methods in Financial Engineering, pp. 326-337, March 2004.

90 [CSM04]. Molly H. Shor and Floyd B. Hanson, " Bringing Control to Students and Teachers," Control Systems Magazine, vol. 24, no. 3, pp. 20-30, June 2004.

91 [SB03/CM04]. Floyd B. Hanson, John J. Westman and Zongwu Zhu, " Maximum Multinomial Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models," in Proc. 2003 AMS/IMS/SIAM Summer Research Conference on Mathematics of Finance, AMS Contemporary Mathematics, pp.~1-15, December 2003, invited paper to appear 2004.

92 [CDC04]. Floyd B. Hanson and Zongwu Zhu, " Comparison of Market Parameters for Jump-Diffusion Distributions Using Multinomial Maximum Likelihood Estimation," Proceedings of 43th IEEE Conference on Decision and Control, pp. 1-6, invited paper, 13 December 2004.

93 [ACC05] Siddhartha P. Chakrabarty and Floyd B. Hanson, " Optimal Control of Drug Delivery to Brain Tumors for a Distributed Parameters Model," Proceedings of 2005 American Control Conference, pp. 973-978, June 2004.

94 [CDC05hc] Floyd B. Hanson and Siddhartha P. Chakrabarty, " Optimal Control of Drug Delivery to Brain Tumors for a PDE Driven Model Using the Galerkin Finite Element Method ," Proceedings of Joint 44th IEEE Conference on Decision and Control and European Control Confence, pp. 1613-1618, 12 December 2005.

95 [CDC05zh]. Zongwu Zhu and Floyd B. Hanson, " A Monte-Carlo Option-Pricing Algorithm for Log-Uniform Jump-Diffusion Model , Proceedings of Joint 44th IEEE Conference on Decision and Control and European Control Conference, pp. 5221-5226, 12 December 2005.

97 [Sethi06] Zongwu Zhu and Floyd B. Hanson, " Optimal Portfolio Application with Double-Uniform Jump Model," Stochastic Processes, Optimization, and Control Theory:Applications in Financial Engineering, Queueing Networks and Manufacturing Systems/A Volume in Honor of Suresh Sethi, International Series in Operations Research & Management Sciences, Vol. 94, H. Yan, G. Yin, Q. Zhang (Eds.), Springer Verlag, New York, pp. 331-358, Invited chapter, June 2006.

98 [CDC06] Siddhartha P. Chakrabarty and Floyd B. Hanson, " Cancer Drug Delivery in Three Dimensions For a Distributed Parameter Control Model Using Finite Elements ," Proceedings of 45th Conference on Decision and Control , pp.~1-6, San Diego, CA, 13-15 December 2006.

100 [SIAMbook]. Floyd B. Hanson, Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation, SIAM Books: Advances in Design and Control Series, Order Code DC13, 28 + 441 pages, published 03 October 2007.

101 [MBS09]. Siddhartha P. Chakrabarty and Floyd B. Hanson, "Distributed Parameters Deterministic Model for Treatment of Brain Tumors Using Galerkin Finite Element Method ," Mathematical Biosciences, pp. 1-54, accepted for publication, 27 March 2009.

  • [WEORMS10 (Encylopedia Chapter)] Floyd B. Hanson, Computation in Dynamic Programming,   in Wiley Encyclopedia of Operations Research and Management Sciencee, edited by James J. Cochran, John Wiley & Sons, Inc., New York, NY, 7 pages, In Press, 27 May 2010.

    103 [IISC07]. Floyd B. Hanson, "Stochastic Processes and Control for Jump-Diffusions," under revision, 44 pages, 22 October 2007.

    104 [BFS08]. Floyd B. Hanson, "Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory and Computation," Fifth World Congress of Bachelier Finance Society, 2008, 27 pages, revised 11 July 2008.


    Summary

    In summary, we have made significant advances in alleviating Bellman's curse of dimensionality for stochastic dynamic programming applications through the use of massive memories, massively parallel processors, optimal data structures, data parallel methods and scientific visualization. In addition, we have produced solutions to many applications both computationally and theoretically.


    Acknowledgements


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    21 May 2009