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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Bibliographic Details
Published in:	Operations research Vol. 51; no. 6; pp. 850 - 865
Main Authors:	de Farias, D. P, Van Roy, B
Format:	Journal Article
Language:	English
Published:	Linthicum INFORMS 01.11.2003 Institute for Operations Research and the Management Sciences
Subjects:	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 Access:	Get full text
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