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

DOI10.1109/TAC.2006.887917zbMATH Open1366.90144OpenAlexW2142393026MaRDI QIDQ5282014FDOQ5282014

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

This page was built for publication: An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5282014)