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Shrinking-Horizon Dynamic Programming
dynamic programming model predictive control revenue management
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2015/7/9
We describe a heuristic control policy, for a general finite-horizon stochastic control problem, that can be used when the current process disturbance is not conditionally independent of previous dist...
Min-Max Approximate Dynamic Programming
Min-Max Approximate Dynamic Programming
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2015/7/9
In this paper we describe an approximate dynamic programming policy for a discrete-time dynamical system perturbed by noise. The approximate value function is the pointwise supremum of a family of low...
Approximate Dynamic Programming via Iterated Bellman Inequalities
Convex Optimization Dynamic Programming Stochastic Control
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2015/7/9
In this paper we introduce new methods for finding functions that lower bound the value function of a stochastic control problem, using an iterated form of the Bellman inequality. Our method is based ...
Quadratic Approximate Dynamic Programming for Input-Affine Systems
approximate dynamic programming stochastic control convex optimization
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2015/7/9
We consider the use of quadratic approximate value functions for stochastic control problems with input-affine dynamics and convex stage cost and constraints. Evaluating the approximate dynamic progra...
Approximate group context tree: applications to dynamic programming and dynamic choice models
categorical time series group context tree
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2011/7/19
The paper considers a variable length Markov chain model associated with a group of stationary processes that share the same context tree but potentially different conditional probabilities.