Approximate dynamic programming via iterated Bellman inequalities
نویسندگان
چکیده
منابع مشابه
Approximate Dynamic Programming via Iterated Bellman Inequalities
In this paper we introduce new methods for finding functions that lower bound the value function of a stochastic control problem, using an iterated form of the Bellman inequality. Our method is based on solving linear or semidefinite programs, and produces both a bound on the optimal objective, as well as a suboptimal policy that appears to works very well. These results extend and improve boun...
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ژورنال
عنوان ژورنال: International Journal of Robust and Nonlinear Control
سال: 2014
ISSN: 1049-8923
DOI: 10.1002/rnc.3152