Sampled fictitious play for multi-action stochastic dynamic programs

• المؤلفون الرئيسيون: Ghate, Archis, CHENG, Shih-Fen, Baumert, Stephen, Reaume, Daniel, Sharma, Dushyant, Smith, Robert L.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2014
• الموضوعات: Approximate dynamic programming; game theory; operations management; Computer Sciences; Operations Research, Systems Engineering and Industrial Engineering
• الوصول للمادة أونلاين: 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

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...