Information Relaxations and Duality in Stochastic Dynamic Programs
A Review and Tutorial
Dynamic Programming (DP) provides a powerful framework for modeling complex decision problems where uncertainty is resolved and decisions are made over time. But it is difficult to scale to complex problems. Monte Carlo simulation methods, however, typically scale well, but typically do not provide a good way to identify an optimal policy or provide a performance bound. To address these restrictions, the authors review the information relaxation approach which works by reducing a complex stochastic DP to a series of scenario-specific deterministic optimization problems solved within a Monte Carlo simulation. Written in a tutorial style, the a…
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Produktdetails
Weitere Autoren: Smith, James E.
- ISBN: 978-1-68083-962-3
- EAN: 9781680839623
- Produktnummer: 38579208
- Verlag: Now Publishers Inc
- Sprache: Englisch
- Erscheinungsjahr: 2022
- Seitenangabe: 108 S.
- Masse: H23.4 cm x B15.6 cm x D0.6 cm 178 g
- Abbildungen: Paperback
- Gewicht: 178
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