An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming

DOI10.1109/TAC.2006.887917MaRDI QIDQ5282014zbMATH OpenOpenAlexFDO

Authors Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus

Publication date 27 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2006.887917

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Cited in

(6)

• A Computationally Efficient FPTAS for Convex Stochastic Dynamic Programs
• A variable neighborhood search based algorithm for finite-horizon Markov decision processes
• Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization
• Approximate stochastic annealing for online control of infinite horizon Markov decision processes
• Multi-armed bandits based on a variant of simulated annealing
• Simulation-based rolling horizon scheduling for operating theatres

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