Simplicial Approximation Of The Value Function Of Stochastic Dynamic Programming For Reservoir Systems
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Simplicial Approximation of the Value Function of Stochastic Dynamic Programming for Reservoir Systems
We present a new approach for the approximation of the value function of Stochastic Dynamic Programming with a view to mitigate the curse of dimensionality. Under convexity assumptions, our method is based on a simplicial partition of the state space. Bounds on the value function provide guidance as to where refinement should be done, if at all. Thus, the method allows for a trade-off between solution time and accuracy. The proposed scheme is experimented in the particular context of hydroelectric production across multiple reservoirs..--Résumé de l'éditeur.
A KWIC Index in Operations Research
Author: International Business Machines Corporation
language: en
Publisher:
Release Date: 1967