Statistics

   

Duality in Robust Dynamic Programming

Authors: Shyam S Chandramouli

Many decision making problems that arise in Finance, Economics, Inventory etc. can be formulated as Markov Decision Problems (MDPs) and solved using Dynamic Programming techniques. Further, to mitigate the statistical errors in estimating the underlying transition matrix or to exercise optimal control under adverserial setup led to the study of robust formulations of the same problems in Ghaoui and Nilim~\cite{ghaoui} and Iyengar~\cite{garud}. In this work, we study the computational methodologies to develop and validate feasible control policies for the Robust Dynamic Programming Problem. In terms of developing control policies, the current work can be seen as generalizing the existing literature on Approximate Dynamic Programming (ADP) to its robust counterpart. The work also generalizes the Information Relaxation and Dual approach of Brown, Smith and Sun~\cite{bss} to robust multi period problems. While discussing this framework we approach it both from a discrete control perspective and also as a set of conditional continous measures as in Ghaoui and Nilim~\cite{ghaoui} and Iyengar~\cite{garud}. We show numerical experiments on applications like ... In a nutshell, we expand the gamut of problems that the dual approach can handle in terms of developing tight bounds on the value function.

Comments: 10 Pages.

Download: PDF

Submission history

[v1] 2012-11-21 13:18:47

Unique-IP document downloads: 366 times

Vixra.org is a pre-print repository rather than a journal. Articles hosted may not yet have been verified by peer-review and should be treated as preliminary. In particular, anything that appears to include financial or legal advice or proposed medical treatments should be treated with due caution. Vixra.org will not be responsible for any consequences of actions that result from any form of use of any documents on this website.

Add your own feedback and questions here:
You are equally welcome to be positive or negative about any paper but please be polite. If you are being critical you must mention at least one specific error, otherwise your comment will be deleted as unhelpful.

comments powered by Disqus