A simulation-based approach to stochastic dynamic programming
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Cites work
- \({\mathcal Q}\)-learning
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- A Stochastic Approximation Method
- A survey of algorithmic methods for partially observed Markov decision processes
- Approximations of Dynamic Programs, I
- Asynchronous stochastic approximation and Q-learning
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- Convergence results for single-step on-policy reinforcement-learning algorithms
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- Information relaxations and duality in stochastic dynamic programs
- Iterated Random Functions
- Letter to the Editor—A Monte Carlo Method for the Approximate Solution of Certain Types of Constrained Optimization Problems
- On the Convergence of Stochastic Iterative Dynamic Programming Algorithms
- Optimal Bayesian Design by Inhomogeneous Markov Chain Simulation
- Optimization by simulated annealing
- Policy Improvement and the Newton-Raphson Algorithm
- Polynomial Approximation--A New Computational Technique in Dynamic Programming: Allocation Processes
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Sequential Monte Carlo Techniques for Solving Non-Linear Systems
- The convergence of \(TD(\lambda)\) for general \(\lambda\)
- Using Randomization to Break the Curse of Dimensionality
Cited in
(14)- Modeling time-dependent randomness in stochastic dual dynamic programming
- Approximate dynamic programming with post-decision states as a solution method for dynamic economic models
- Unbounded dynamic programming via the Q-transform
- Advances in Bayesian decision making in reliability
- Stochastic iterative dynamic programming: a Monte Carlo approach to dual control
- Empirical dynamic programming
- Speeding up stochastic dynamic programming with zero-delay convolution
- Simulation-Based Optimality Tests for Stochastic Programs
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
- Simulation-based optimization of Markov reward processes
- Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse
- Pathwise dynamic programming
- Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
- Analyzing risky choices: Q-learning for deal-no-deal
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