A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations.
Zhongqiang ZhangBoris RozovskiiMichael V. TretyakovGeorge E. KarniadakisPublished in: SIAM J. Sci. Comput. (2012)
Keyphrases
- multistage
- stochastic programming
- stochastic optimization
- reaction diffusion
- single stage
- dynamic programming
- production system
- lot sizing
- particle swarm optimization
- jump diffusion process
- navier stokes equations
- anisotropic diffusion
- optimal policy
- diffusion process
- boundary conditions
- multistage stochastic
- markov chain
- hamilton jacobi bellman
- finite horizon
- stochastic process