文章基本信息

标题：Gradient-Bounded Dynamic Programming with Submodular and Concave extensible Value Functions ⁎
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作者：Denis Lebedev ; Paul Goulart ; Kostas Margellos 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2020
卷号：53
期号：2
页码：6825-6830
DOI：10.1016/j.ifacol.2020.12.337
语种：English
出版社：Elsevier
摘要：AbstractWe consider dynamic programming problems with finite, discrete-time horizons and prohibitively high-dimensional, discrete state-spaces for direct computation of the value function from the Bellman equation. For the case that the value function of the dynamic program is concave extensible and submodular in its state-space, we present a new algorithm that computes deterministic upper and stochastic lower bounds of the value function similar to dual dynamic programming. We then show that the proposed algorithm terminates after a fnite number of iterations. Finally, we demonstrate the efficacy of our approach on a high-dimensional numerical example from delivery slot pricing in attended home delivery.
关键词：KeywordsDual dynamic programmingFunction approximationReal-time operations in transportation