A Smoothed Approximate Linear Program

NeurIPS 2009 Vijay DesaiVivek FariasCiamac C. Moallemi

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP naturally restrict attention to approximations that are lower bounds to the optimal cost-to-go function... (read more)

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