Efficient sampling in approximate dynamic programming algorithms

DOI10.1007/S10589-007-9054-8zbMATH Open1171.90538OpenAlexW2042023521MaRDI QIDQ2477014FDOQ2477014

Authors: C. Cervellera, Marco Muselli 

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

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zbMATH Keywords

Dynamic programmingLow-discrepancy sequencesSample complexityDeterministic learningStochastic optimal control problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

Cites Work

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Cited In (17)

• Optimization based on quasi-Monte Carlo sampling to design state estimators for non-linear systems
• Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty
• Optimal sampling from sliding windows
• Parameter-free sampled fictitious play for solving deterministic dynamic programming problems
• Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
• A Constant Factor Approximation Algorithm for Event-Based Sampling
• A comparison of global and semi-local approximation in \(T\)-stage stochastic optimization
• Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization
• Low-discrepancy sampling for approximate dynamic programming with local approximators
• Management of water resource systems in the presence of uncertainties by nonlinear approximation techniques and deterministic sampling
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• Functional optimal estimation problems and their solution by nonlinear approximation schemes
• A kernel-based approximate dynamic programming approach: theory and application
• Hybrid simplicial-randomized approximate stochastic dynamic programming for multireservoir optimization
• Dynamic programming and value-function approximation in sequential decision problems: error analysis and numerical results
• Lattice point sets for state sampling in approximate dynamic programming
• An efficient DP algorithm on a tree-structure for finite horizon optimal control problems

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