Two adaptively stepped monotone algorithms for solving discounted dynamic programming equations
DOI10.1080/01630569308816514zbMATH Open0801.90124OpenAlexW2058625809MaRDI QIDQ4293291FDOQ4293291
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Publication date: 1 December 1994
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01630569308816514
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discrete timeinfinite horizonfinite statefinite actiondiscounted, stationary Markov decision processes
Dynamic programming (90C39) Sequential statistical methods (62L99) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40)
Cites Work
- Methods of descent for nondifferentiable optimization
- Stochastic optimal control. The discrete time case
- Dual Approximations in Optimal Control
- A generalization of the linear complementarity problem
- Computational methods in optimization. A unified approach.
- Adaptive aggregation methods for infinite horizon dynamic programming
- Singular Stochastic Control Problems Solved by a Sparse Simplex Method
- Monotonicity of Mangasarian's iterative algorithm for generalized linear complementarity problems
- Technical Note—Accelerated Computation of the Expected Discounted Return in a Markov Chain
- Title not available (Why is that?)
Cited In (14)
- Fast value iteration: an application of Legendre-Fenchel duality to a class of deterministic dynamic programming problems in discrete time
- An approximate dynamic programming algorithm for monotone value functions
- Applications of variable discounting dynamic programming to iterated function systems and related problems
- Title not available (Why is that?)
- An Algorithm for a Dynamic Programming Model of Fractional Flows
- A divide and conquer algorithm for exploiting policy function monotonicity
- Valuing programs with deterministic and stochastic cycles
- Adaptive aggregation methods for infinite horizon dynamic programming
- Infinite-horizon deterministic dynamic programming in discrete time: a monotone convergence principle and a penalty method
- Accelerating Procedures of the Value Iteration Algorithm for Discounted Markov Decision Processes, Based on a One-Step Lookahead Analysis
- Approximation and bounds in discrete event dynamic programming
- Iterative algorithms for solving undiscounted bellman equations
- A Dynamic Programming Type Algorithm for Finite Decision Problems in Banach Spaces
- Monotone value iteration for discounted finite Markov decision processes
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