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Min-max approximate dynamic programming
Dynamic planning policy dynamic system the noise the approximation function
2015/8/7
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
2015/8/7
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 ...
Quadratic approximate dynamic programming for input-affine systems
approximate dynamic programming stochastic control convex optimization
2015/8/7
We consider the use of quadratic approximate value functions for stochastic control problems with input-affine dynamics and convex stage cost and constraints. Evaluating the approximate dynamic progra...