Gradient bounded dynamic programming with submodular and concave extensible value functions
We consider dynamic programming problems with finite, discrete-time horizons and prohibitively high-dimensional, discrete state-spaces for direct computation of the value function from the Bellman equation. For the case that the value function of the dynamic program is concave extensible and submodu...
| Main Authors: | , , |
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| Format: | Conference item |
| Sprog: | English |
| Udgivet: |
Elsevier
2021
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