MIDAS: A mixed integer dynamic approximation scheme
| Autor: | F. Wahid, Andy Philpott, Joseph Frédéric Bonnans |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Mathematical optimization
021103 operations research General Mathematics Numerical analysis 0211 other engineering and technologies Sampling (statistics) Monotonic function 010103 numerical & computational mathematics 02 engineering and technology 01 natural sciences Dynamic programming Step function Convergence (routing) Stochastic optimization 0101 mathematics Software Mathematics Integer (computer science) |
| Zdroj: | Mathematical Programming. 181:19-50 |
| ISSN: | 1436-4646 0025-5610 |
| DOI: | 10.1007/s10107-019-01368-1 |
| Popis: | Mixed integer dynamic approximation scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to a $$2T\varepsilon $$-optimal policy for problems with T stages when the Bellman functions are known to be monotonic, and the sampling process satisfies standard assumptions. |
| Databáze: | OpenAIRE |
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