𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A dynamic programming approach to adjustable robust optimization

✍ Scribed by Alexander Shapiro


Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
243 KB
Volume
39
Category
Article
ISSN
0167-6377

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A simulation-based approach to stochasti
✍ Nicholas G. Polson; Morten Sorensen πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 492 KB πŸ‘ 2 views

## Abstract In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a