Low-discrepancy sampling for approximate dynamic programming with local approximators

DOI10.1016/J.COR.2013.09.006MaRDI QIDQ336896zbMATH OpenOpenAlexWikidataFDO

Authors C. Cervellera, Mauro Gaggero, D. Macciò

Publication date 10 November 2016

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2013.09.006

zbMATH Keywords

approximate dynamic programminginventory forecastinglocal approximationlow-discrepancy samplingNadaraya-Watson models

Mathematics Subject Classification ID

Dynamic programming (90C39) Inventory, storage, reservoirs (90B05) Markov and semi-Markov decision processes (90C40)

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• Adaptive value function approximation for continuous-state stochastic dynamic programming
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• Real Analysis and Probability

Cited in

(7)

• Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty
• Efficient sampling in approximate dynamic programming algorithms
• Adaptive value function approximation for continuous-state stochastic dynamic programming
• Robust optimizers for nonlinear programming in approximate dynamic programming
• Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization
• Approximate stochastic dynamic programming for hydroelectric production planning
• Lattice point sets for state sampling in approximate dynamic programming

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