A Primal-Dual Method for Stochastic Dynamic Programming

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：stwl1976

【摘要】

：

　　We use the information relaxation technique to develop a primaldual iterative approach to solve stochastic dynamic programming problems.In each iteration,we

【作者】

：

ChenNan;

【机构】

：

The Chinese Univ.of Hong Kong

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We use the information relaxation technique to develop a primaldual iterative approach to solve stochastic dynamic programming problems.In each iteration,we obtain confidence intervals for the optimal value so that we can assess the quality of the currently used policy.We show the method will converge to the true value in finite number of iterations.

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A Primal-Dual Method for Stochastic Dynamic Programming

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