A Smoothed Approximate Linear Program

@inproceedings{Desai2009ASA,
  title={A Smoothed Approximate Linear Program},
  author={Vijay V. Desai and Vivek F. Farias and Ciamac C. Moallemi},
  booktitle={NIPS},
  year={2009}
}
We present a novel linear program for the approximation of the dynamic programming costto-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural ‘projection’ of a well studied linear program for exact dynamic programming. Such programs restrict attention to approximations that are lower bounds to the optimal cost-to-go function. Our program—the ‘smoothed approximate linear program’— is distinct from such approaches and… CONTINUE READING
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