An Optimal Approximate Dynamic Programming Algorithm for Concave, Scalar Storage Problems With Vector-Valued Controls

We prove convergence of an approximate dynamic programming algorithm for a class of high-dimensional stochastic control problems linked by a scalar storage device, given a technical condition. Our problem is motivated by the problem of optimizing energy flows for a power grid supported by grid-level...

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Vydáno v:	IEEE transactions on automatic control Ročník 58; číslo 12; s. 2995 - 3010
Hlavní autoři:	Nascimento, Juliana, Powell, Warren B.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York IEEE 01.12.2013 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Témata:	Approximate dynamic programming Approximation algorithms Convergence Dynamic programming Function approximation Piecewise linear approximation resource allocation storage Vectors
ISSN:	0018-9286, 1558-2523
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