Piecewise Linear Dynamic Programs with Applications
نویسندگان
چکیده
PIECEWISE LINEAR DYNAMIC PROGRAMS WITH APPLICATIONS Katsushige Sawaki Nanzan University (Received May 22, 1978; Revised May 11, 1979) This paper considers a special class of dynamic programs which satisfies the monotone and contraction assumptions. This class of dynamic programs is charaC1:erized by the piecewise linearity that the cost function is piecewise linear whenever the terminal cost function is pi'~cewise linear. Partially observable Markov decision processes have this property. An algorithm based on policy improvement is develo ped to construct f·optimal policies and f-optimal cost functions. This algorithm has the advantage of involving only linear functions. A numerical example is also presented.
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تاریخ انتشار 2009