Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption

DOI10.1007/978-3-319-00669-7_3zbMath1291.90286OpenAlexW2097546484WikidataQ59403933 ScholiaQ59403933MaRDI QIDQ4979399

Giorgio Gnecco, Mauro Gaggero, Marcello Sanguineti

Publication date: 20 June 2014

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00669-7_3

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39)

Related Items (1)

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

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