Gradient bounded dynamic programming with submodular and concave extensible value functions

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...

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Bibliografiske detaljer
Main Authors:	Lebedev, D, Goulart, P, Margellos, K
Format:	Conference item
Sprog:	English
Udgivet:	Elsevier 2021

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