From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming (Q4571046): Difference between revisions

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scientific article; zbMATH DE number 6899070

Language	Label	Description	Also known as
English	From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming	scientific article; zbMATH DE number 6899070

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instance of

scholarly article

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title

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming (English)

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zbMATH Open document ID

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Peyman Mohajerin Esfahani

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SIAM Journal on Optimization

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publication date

6 July 2018

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full work available at URL

https://arxiv.org/abs/1701.06379

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Mathematics Subject Classification ID

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infinite-dimensional linear programming

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Markov decision processes

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approximate dynamic programming

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randomized and convex optimization

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MaRDI profile type

MaRDI publication profile

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0 references

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Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

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Stochastic Control with Imperfect Models

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Q3182207

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Convergence of discretization procedures in dynamic programming

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Q2925454

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Stochastic optimal control. The discrete time case

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Q4257216

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Approximating integrals of multivariate exponentials: A moment approach

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The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs

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A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes

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I-divergence geometry of probability distributions and minimization problems

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The Linear Programming Approach to Approximate Dynamic Programming

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On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming

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First-order methods of smooth convex optimization with inexact oracle

0 references

Approximation of Markov decision processes with general state space

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Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes

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Stochastic approximations of constrained discounted Markov decision processes

0 references

Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities

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Duality for Stochastic Programming Interpreted as L. P. in $L_p $-Space

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Theory and practice of finite elements.

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The Bernstein polynomial basis: a centennial retrospective

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Adaptive Markov control processes

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Constrained Average Cost Markov Control Processes in Borel Spaces

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Approximation Schemes for Infinite Linear Programs

0 references

Q4255598

0 references

OnActor-Critic Algorithms

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Q4421713

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Extremal points and optimal solutions for general capacity problems

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Motion Planning for Continuous-Time Stochastic Processes: A Dynamic Programming Approach

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The stochastic reach-avoid problem and set characterization for diffusions

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From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

0 references

Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs

0 references

Q5201292

0 references

Introductory lectures on convex optimization. A basic course.

0 references

Smooth minimization of non-smooth functions

0 references

Q4152037

0 references

Multistage Stochastic Programming with Recourse As Mathematical Programming in an $L_p $ Space

0 references

On the convergence rate of a modified Fourier series

0 references

Risk-averse dynamic programming for Markov decision processes

0 references

Rationally Inattentive Control of Markov Processes

0 references

On general minimax theorems

0 references

An analysis of temporal-difference learning with function approximation

0 references

Q4805362

0 references

OpenAlex ID

W2582186538

0 references

Sitelinks

Mathematics(1 entry)

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+Convergence of discretization procedures in dynamic programming
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+Stochastic optimal control. The discrete time case
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+Approximating integrals of multivariate exponentials: A moment approach
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+The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
+Normal rank
@@ Property / cites work @@
+A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes
+Normal rank
@@ Property / cites work @@
+I-divergence geometry of probability distributions and minimization problems
+Normal rank
@@ Property / cites work @@
+The Linear Programming Approach to Approximate Dynamic Programming
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@@ Property / cites work @@
+On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
+Normal rank
@@ Property / cites work @@
+First-order methods of smooth convex optimization with inexact oracle
+Normal rank
@@ Property / cites work @@
+Approximation of Markov decision processes with general state space
+Normal rank
@@ Property / cites work @@
+Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes
+Normal rank
@@ Property / cites work @@
+Stochastic approximations of constrained discounted Markov decision processes
+Normal rank
@@ Property / cites work @@
+Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities
+Normal rank
@@ Property / cites work @@
+Duality for Stochastic Programming Interpreted as L. P. in $L_p $-Space
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+Theory and practice of finite elements.
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+The Bernstein polynomial basis: a centennial retrospective
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@@ Property / cites work @@
+Adaptive Markov control processes
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+Normal rank
@@ Property / cites work @@
+Constrained Average Cost Markov Control Processes in Borel Spaces
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+Approximation Schemes for Infinite Linear Programs
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+Q4255598
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@@ Property / cites work @@
+OnActor-Critic Algorithms
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+Normal rank
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+Extremal points and optimal solutions for general capacity problems
+Normal rank
@@ Property / cites work @@
+Motion Planning for Continuous-Time Stochastic Processes: A Dynamic Programming Approach
+Normal rank
@@ Property / cites work @@
+The stochastic reach-avoid problem and set characterization for diffusions
+Normal rank
@@ Property / cites work @@
+From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming
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@@ Property / cites work @@
+Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
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@@ Property / cites work @@
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+Normal rank
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+Introductory lectures on convex optimization. A basic course.
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+Smooth minimization of non-smooth functions
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+Normal rank
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+Multistage Stochastic Programming with Recourse As Mathematical Programming in an $L_p $ Space
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+On the convergence rate of a modified Fourier series
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+Risk-averse dynamic programming for Markov decision processes
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+Rationally Inattentive Control of Markov Processes
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+On general minimax theorems
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+Normal rank
@@ Property / cites work @@
+An analysis of temporal-difference learning with function approximation
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