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math.OC2019★ 2 cited
A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion
Sixiang Zhao, William B. Haskell, Michel-Alexandre Cardin
This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given obser…
math.OC2019★ 1 cited
An Accelerated Fitted Value Iteration Algorithm for MDPs with Finite and Vector-Valued Action Space
Sixiang Zhao, William B. Haskell, Michel-Alexandre Cardin
This paper studies an accelerated fitted value iteration (FVI) algorithm to solve high-dimensional Markov decision processes (MDPs). FVI is an approximate dynamic programming algor…