Approximate dynamic programming for stochastic N-stage optimization with application to optimal consumption under uncertainty

Author:

Gaggero Mauro,Gnecco Giorgio,Sanguineti Marcello

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Control and Optimization

Reference87 articles.

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3. Altman, E., Nain, P.: Optimal control of the M/G/1 queue with repeated vacations of the server. IEEE Trans. Autom. Control 38, 1766–1775 (1993)

4. Anderson, E.J., Nash, P.: Linear Programming in Infinite-Dimensional Spaces. Wiley, New York (1987)

5. Baird, L.: Residual algorithms: reinforcement learning with function approximation. In: Proc. 12th Int. Conf. on Machine Learning, pp. 30–37 (1995)

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