Efficient sampling in approximate dynamic programming algorithms
From MaRDI portal
Publication:2477014
DOI10.1007/s10589-007-9054-8zbMath1171.90538OpenAlexW2042023521MaRDI QIDQ2477014
Marco Muselli, Cristiano Cervellera
Publication date: 12 March 2008
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-007-9054-8
Dynamic programmingLow-discrepancy sequencesSample complexityDeterministic learningStochastic optimal control problem
Related Items (9)
Low-discrepancy sampling for approximate dynamic programming with local approximators ⋮ Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization ⋮ A comparison of global and semi-local approximation in \(T\)-stage stochastic optimization ⋮ Dynamic programming and value-function approximation in sequential decision problems: error analysis and numerical results ⋮ Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty ⋮ Functional optimal estimation problems and their solution by nonlinear approximation schemes ⋮ Management of water resource systems in the presence of uncertainties by nonlinear approximation techniques and deterministic sampling ⋮ Optimization based on quasi-Monte Carlo sampling to design state estimators for non-linear systems ⋮ Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
Cites Work
- Optimization of a large-scale water reservoir network by stochastic dynamic programming with efficient state space discretization
- Neural network and regression spline value function approximations for stochastic dynamic programming
- Applying Experimental Design and Regression Splines to High-Dimensional Continuous-State Stochastic Dynamic Programming
- An optimal one-way multigrid algorithm for discrete-time stochastic control
- Convergence of discretization procedures in dynamic programming
- Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation
- Universal approximation bounds for superpositions of a sigmoidal function
- Hinging hyperplanes for regression, classification, and function approximation
- Programs to generate Niederreiter's low-discrepancy sequences
- Polynomial Approximation--A New Computational Technique in Dynamic Programming: Allocation Processes
- Approximating networks and extended Ritz method for the solution of functional optimization problems
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Efficient sampling in approximate dynamic programming algorithms