Learning with Dynamic Programming

@inproceedings{Frazier2010LearningWD,
  title={Learning with Dynamic Programming},
  author={Peter I. Frazier},
  year={2010}
}
We consider the role of dynamic programming in sequential learning problems. These problems require deciding which information to collect in order to best support later actions. Such problems are ubiquitous, appearing in simulation, global optimization, revenue management, and many other areas. Dynamic programming offers a coherent framework for understanding and solving Bayesian formulations of these problems. We present the dynamic programming formulation applied to a canonical problem… CONTINUE READING

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