Approximate Dynamic Programming via a Smoothed Linear Program
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural “projection” of a well-studied linear program for exact dynamic programming. Such...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2012
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| Online Access: | http://hdl.handle.net/1721.1/75033 https://orcid.org/0000-0002-5856-9246 |