most citedApproximate Dynamic Programming via a Smoothed Linear Program

3 citations · 3 across the 1 of their papers we have counts for

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math.OC2009★ 3 cited

Approximate Dynamic Programming via a Smoothed Linear Program

V. V. Desai, V. F. Farias, C. C. Moallemi

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate…