The Linear Programming Approach to Approximate Dynamic Programming
نویسندگان
چکیده
منابع مشابه
The Linear Programming Approach to Approximate Dynamic Programming
The curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of large-scale stochastic control problems. We study an efficient method based on linear programming for approximating solutions to such problems. The approach “fits” a linear combination of pre-selected basis functions to the dynamic programming cost-to-go function. We dev...
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The curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of largescale stochastic control problems. We study an efficient method based on linear programming for approximating solutions to such problems. The approach "fits" a linear combination of preselected basis functions to the dynamic programming costtogo function. We develop...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2003
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.51.6.850.24925