An Optimal Approximate Dynamic Programming Algorithm for the Lagged Asset Acquisition Problem

We consider a multistage asset acquisition problem where assets are purchased now, at a price that varies randomly over time, to be used to satisfy a random demand at a particular point in time in the future. We provide a rare proof of convergence for an approximate dynamic programming algorithm usi...

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Veröffentlicht in:	Mathematics of operations research Jg. 34; H. 1; S. 210 - 237
Hauptverfasser:	Nascimento, Juliana M, Powell, Warren B
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Linthicum INFORMS 01.02.2009 Institute for Operations Research and the Management Sciences
Schlagworte:	Adaptive control Algorithms approximate dynamic programming Approximation Asset acquisitions Dynamic programming Evaluation Induction assumption Integers Mathematical functions Mathematical induction Mathematical inequalities Operations research Optimal policy Stochastic analysis stochastic approximation stochastic learning and adaptive control Studies United States
ISSN:	0364-765X, 1526-5471
Online-Zugang:	Volltext
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