The Numerical Solution of Sequential Decision Problems Involving Parabolic Equations with Moving Boundaries
Jorge Vicente Malik Lindley, A. Wragg · The Computer Journal · 1966
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.