This project is concerned with the development of fast and efficient algorithms for the optimal feedback control of continuous time nonlinear dynamical systems, perturbed by Gaussian and Poisson white noise. The computational treatment of Poisson noise is a particularly unique feature of this proposal. Fast algorithms for vector multiprocessor computations are being developed that take advantage of vector formulation of the problem and other parallelizeable parts of the algorithm. Another important feature is that the advanced computing aspects of this work help remove Bellman's "curse of dimensionality".
