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 program...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS),
2012-11-27T17:44:05Z.
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| Subjects: | |
| Online Access: | Get fulltext |