Approximate dynamic programming for stochastic linear control problems on compact state spaces

Stefan Woerner, Marco Laumanns, Rico Zenklusen and Apostolos Fertis

European Journal of Operational Research, 2015, vol. 241, issue 1, 85-98

Abstract: This paper addresses Markov Decision Processes over compact state and action spaces. We investigate the special case of linear dynamics and piecewise-linear and convex immediate costs for the average cost criterion. This model is very general and covers many interesting examples, for instance in inventory management. Due to the curse of dimensionality, the problem is intractable and optimal policies usually cannot be computed, not even for instances of moderate size.

Keywords: Dynamic programming; Markov processes; Inventory; Dual sourcing; Multiple sourcing (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:241:y:2015:i:1:p:85-98

DOI: 10.1016/j.ejor.2014.08.003

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