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Approximate Dynamic Programming via Linear Programming

By Daniela P. De Farias and Benjamin Van Roy

Abstract

The curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of large-scale stochastic control problems. We study an efficient method based on linear programming for approximating solutions to such problems

Publisher: MIT Press
Year: 2001
OAI identifier: oai:CiteSeerX.psu:10.1.1.19.8736
Provided by: CiteSeerX
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