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Dynamic programming approach to inequalities

✍ Scribed by Seiichi Iwamoto

Book ID: 107800497
Publisher: Elsevier Science
Year: 1977
Tongue: English
Weight: 709 KB
Volume: 58
Category: Article
ISSN: 0022-247X
DOI: 10.1016/0022-247x(77)90201-3

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## 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