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...
| Hauptverfasser: | , , |
|---|---|
| Format: | Conference item |
| Sprache: | English |
| Veröffentlicht: |
Elsevier
2021
|