Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations

DOI10.1109/TAC.2017.2731817MaRDI QIDQ4567121zbMATH OpenFDO

Authors Fan Ye, Helin Zhu, Enlu Zhou

Publication date 27 June 2018

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

Full work available at URL https://arxiv.org/abs/1405.3363

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Abstract: "Weakly coupled dynamic program" describes a broad class of stochastic optimization problems in which multiple controlled stochastic processes evolve independently but subject to a set of linking constraints imposed on the controls. One feature of the weakly coupled dynamic program is that it decouples into lower-dimensional dynamic programs by dualizing the linking constraint via the Lagrangian relaxation, which also yields a bound on the optimal value of the original dynamic program. Together with the Lagrangian bound, we utilize the information relaxation approach that relaxes the non-anticipative constraint on the controls to obtain a tighter dual bound. We also investigate other combinations of the relaxations and place the resulting bounds in order. To tackle large-scale problems, we further propose a computationally tractable method based on information relaxation, and provide insightful interpretation and performance guarantee. We implement our method and demonstrate its use through two numerical examples.

Cited in

(3)

• A novel decomposition-based method for solving general-product structure assemble-to-order systems
• Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
• Job scheduling integrated with material ordering: decision-dependent stochastic programming and information relaxation dual bounds

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