On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming

DOI10.1287/moor.1040.0094zbMath1082.90124MaRDI QIDQ5704184

Benjamin van Roy, Daniela Pucci de Farias

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1040.0094

zbMATH Keywords

Markov decision processes; value function; policy; basis functions

Mathematics Subject Classification ID

90C06: Large-scale problems in mathematical programming

90B22: Queues and service in operations research

90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)

90C39: Dynamic programming

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