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In this paper we describe an approximate dynamic programming policy for a discrete-time dynamical system perturbed by noise. The approximate value function is the pointwise supremum of a family of low...
Approximate Dynamic Programming via Iterated Bellman Inequalities
Convex Optimization Dynamic Programming Stochastic Control
2015/7/9
In this paper we introduce new methods for finding functions that lower bound the value function of a stochastic control problem, using an iterated form of the Bellman inequality. Our method is based ...