Two adaptively stepped monotone algorithms for solving discounted dynamic programming equations

DOI10.1080/01630569308816514MaRDI QIDQ4293291zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

discrete timeinfinite horizonfinite statefinite actiondiscounted, stationary Markov decision processes

Mathematics Subject Classification ID

Dynamic programming (90C39) Sequential statistical methods (62L99) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3860883 (Why is no real title available?)
• A generalization of the linear complementarity problem
• Adaptive aggregation methods for infinite horizon dynamic programming
• Computational methods in optimization. A unified approach.
• Dual Approximations in Optimal Control
• Methods of descent for nondifferentiable optimization
• Monotonicity of Mangasarian's iterative algorithm for generalized linear complementarity problems
• Singular Stochastic Control Problems Solved by a Sparse Simplex Method
• Stochastic optimal control. The discrete time case
• Technical Note—Accelerated Computation of the Expected Discounted Return in a Markov Chain

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
• scientific article; zbMATH DE number 4104749 (Why is no real title available?)
• 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
• Monotone value iteration for discounted finite Markov decision processes
• A Dynamic Programming Type Algorithm for Finite Decision Problems in Banach Spaces

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