Applying unweighted least-squares based techniques to stochastic dynamic programming: theory and application

DOI10.1049/IET-CTA.2019.0289MaRDI QIDQ7025402zbMATH OpenFDO

Authors Ali Forootani, Raffaele Iervolino, Massimo Tipaldi

Publication date 19 February 2025

Published in IET Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

data analysisdynamic programmingstochastic processesbig dataMarkov processescontraction mappingprobabilityresource allocationvalue function approximationfunction approximationmonotonicity propertiesstochastic dynamic programmingresource allocation problemuniform probability distributionbig data analysisleast squares approximationsautomatic control system societyDP algorithmDP optimisation problemMarkov decision process modelmathematics computingMatlab based softwaresquare projection approachunweighted least-squares based techniquesunweighted LS sub-problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Least squares and related methods for stochastic control systems (93E24)

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