Approximation procedure for stochastic dynamic programming based on clustering of state and action spaces
作者:
V. Nollau,
A. Hahnewald-Busch,
期刊:
Mathematische Operationsforschung und Statistik. Series Optimization
(Taylor Available online 1979)
卷期:
Volume 10,
issue 1
页码: 121-130
ISSN:0323-3898
年代: 1979
DOI:10.1080/02331937908842555
出版商: Akademic-Verlag
数据来源: Taylor
摘要:
In this note we investigate a time-discrete stochastic dynamic programming problem with countable state and action spaces. We introduce an approximation procedure for a numerical solution by decomposition of the state and also of the action space. The minimal value functions and the optimal policies of the Markovian Decision .Processes constructed by clustering of both spaces are calculated by dynamic programming. Bounds for the minimal value functions will be obtained and convergence theorems are proved.
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