On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
نویسندگان
چکیده
منابع مشابه
On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
In the linear programming approach to approximate dynamic programming, one tries to solve a certain linear program — the ALP — which has a relatively small number K of variables but an intractable number M of constraints. In this paper, we study a scheme that samples and imposes a subset of m¿M constraints. A natural question that arises in this context is: How must m scale with respect to K an...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2004
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1040.0094