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Reports (Research Report) Year : 2016

MIDAS: A Mixed Integer Dynamic Approximation Scheme

Abstract

Mixed Integer Dynamic Approximation Scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to an ε-optimal policy when the Bellman functions are known to be continuous, and the sampling process satisfies standard assumptions.
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Dates and versions

hal-01401950 , version 1 (24-11-2016)

Identifiers

  • HAL Id : hal-01401950 , version 1

Cite

Andy Philpott, Faisal Wahid, Frédéric Bonnans. MIDAS: A Mixed Integer Dynamic Approximation Scheme. [Research Report] Inria Saclay Ile de France. 2016, pp.22. ⟨hal-01401950⟩
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