Solving the Dual Problems of Dynamic Programs via Regression

In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solving dynamic programs by providing lower-upper bounds on the optimal value function. Theoretically, with the so-called va...

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Veröffentlicht in:	IEEE transactions on automatic control 2018-05, Vol.63 (5), p.1340-1355
Hauptverfasser:	Zhu, Helin, Ye, Fan, Zhou, Enlu
Format:	Artikel
Sprache:	eng
Schlagworte:	Computational modeling Dynamic program (DP) Dynamic programming Electronic mail information relaxation optimal dual penalty Optimization Pricing regression Uncertainty Upper bound
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