Stochastic dynamic programming with random disturbances
Copyright policy )Stochastic dynamic programming with random disturbances
In stochastic dynamic programming problems, the transition function usually depends on the current state, current action, and random factors, referred in this paper as disturbances. For Markov decision processes, the disturbances form a sequence of independent random values. This paper studies stochastic dynamic programming problems when the decision-maker knows the value of a disturbance at the current state before he or she selects a decision. This paper is motivated by applications to transportation problems.
- Ilmenau University of Technology Germany
Markov and semi-Markov decision processes, certainty equivalence principle, Stochastic programming, distance property, stochastic dynamic programming, Dynamic programming, dominant policy, Markov decision processes
Markov and semi-Markov decision processes, certainty equivalence principle, Stochastic programming, distance property, stochastic dynamic programming, Dynamic programming, dominant policy, Markov decision processes
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