Sampled fictitious play for multi-action stochastic dynamic programs

Sampled fictitious play for multi-action stochastic dynamic programs

We introduce a class of finite-horizon dynamic optimization problems that we call multi-action stochastic dynamic programs (DPs). Their distinguishing feature is that the decision in each state is a multi-dimensional vector. These problems can in principle be solved using Bellman's backward rec...

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Bibliographic Details
Main Authors: Ghate, Archis, CHENG, Shih-Fen, Baumert, Stephen, Reaume, Daniel, Sharma, Dushyant, Smith, Robert L.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Approximate dynamic programming
game theory
operations management
Computer Sciences
Operations Research, Systems Engineering and Industrial Engineering
Online Access:https://ink.library.smu.edu.sg/sis_research/1982
https://ink.library.smu.edu.sg/context/sis_research/article/2981/viewcontent/multi_action_stochastic_DP_final_production.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/sis_research/1982
https://ink.library.smu.edu.sg/context/sis_research/article/2981/viewcontent/multi_action_stochastic_DP_final_production.pdf

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