MIDAS: A Mixed Integer Dynamic Approximation Scheme
Résumé
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.
Domaines
Optimisation et contrôle [math.OC]| Origine | Fichiers produits par l'(les) auteur(s) |
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