Relaxations of Weakly Coupled Stochastic Dynamic Programs

@article{Adelman2008RelaxationsOW,
  title={Relaxations of Weakly Coupled Stochastic Dynamic Programs},
  author={Daniel Adelman and Adam J. Mersereau},
  journal={Oper. Res.},
  year={2008},
  volume={56},
  pages={712-727}
}
We consider a broad class of stochastic dynamic programming problems that are amenable to relaxation via decomposition. These problems comprise multiple subproblems that are independent of each other except for a collection of coupling constraints on the action space. We fit an additively separable value function approximation using two techniques, namely, Lagrangian relaxation and the linear programming (LP) approach to approximate dynamic programming. We prove various results comparing the… 

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