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"...

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Veröffentlicht in:	Operations research Jg. 51; H. 6; S. 850 - 865
Hauptverfasser:	de Farias, D. P, Van Roy, B
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Linthicum INFORMS 01.11.2003 Institute for Operations Research and the Management Sciences
Schlagworte:	Algorithms Approximation Approximation theory Average cost Dynamic programming Dynamic programming/optimal control: approximations/large-scale problems Error bounds Liapunov functions Linear programming Machine learning Mathematical vectors Methods Operations research Process controls Queueing networks Queues, algorithms: control of queueing networks Queuing Studies
ISSN:	0030-364X, 1526-5463
Online-Zugang:	Volltext
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