Approximate Dynamic Programming

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1、ApproximateDynamicProgrammingforOperationsResearch:SolvingthecursesofdimensionalityWarrenB.PowellMay2,2005(c)WarrenB.Powell,2005Allrightsreserved.DepartmentofOperationsResearchandFinancialEngineeringPrincetonUniversity,Princeton,NJ08544Contents1Thechalle

2、ngesofdynamicprogramming11.1Adynamicprogrammingexample:ashortestpathproblem..........21.2Thethreecursesofdimensionality........................31.3Somerealapplications..............................51.4Problemclassesinassetmanagement......................

3、81.5Whatisnewinthisbook?............................101.6Themanydialectsofdynamicprogramming..................121.7Bibliographicnotes................................142Someillustrativeapplications152.1Deterministicproblems..............................15

4、2.1.1Thebudgetingproblem..........................152.1.2Theshortestpathproblem........................172.2Stochasticproblems................................192.2.1Thegamblingproblem..........................192.2.2Thebatchreplenishmentproblem..........

5、..........212.2.3Thesecretaryproblem..........................222.2.4Optimalstopping.............................282.3Bibliographicnotes................................293Modelingdynamicprograms323.1Notationalstyle..................................33iCON

6、TENTSii3.2Modelingtime...................................343.3Modelingassets..................................383.4Illustration:thenomadictrucker........................413.4.1Abasicmodel...............................413.4.2Amorerealisticmodel..........

7、................423.4.3Thestateofthesystem.........................433.5Theexogenousinformationprocess.......................443.5.1Basicnotationforinformationprocesses................443.5.2Modelsofinformationprocesses.....................453.6Thestates

8、ofoursystem.............................483.6.1Thethreestatesofoursystem......................483.6.2Pre-andpost-decisionstatevariables..................513.6.3Partiallyobservablestates........................533.7Modeling