Faculty Candidate Seminar: Title: The Linear Programming Approach to Approximate Dynamic Programming

Event Details
  • Date/Time:
    • Thursday February 7, 2002 - Wednesday February 6, 2002
      10:00 am - 11:00 pm
  • Location: IC Bldg., Room 209
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: Faculty Candidate Seminar: Title: The Linear Programming Approach to Approximate Dynamic Programming

Full Summary: Faculty Candidate Seminar: Title: The Linear Programming Approach to Approximate Dynamic Programming

Dynamic programming offers an elegant, unified treatment of a wide range of stochastic control problems. However, the curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of large--scale problems. We study an efficient method based on linear programming for approximating solutions to such problems. The approach "fits'" a linear combination of pre--selected basis functions to the dynamic programming cost--to--go function. We develop error bounds that offer performance guarantees and also guide the selection of both basis functions and "state--relevance weights'' that influence quality of the approximation. Experimental results in queueing problems and an application to web server farms provide empirical support for the methodology.

Additional Information

In Campus Calendar
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School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm