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From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming.
Peyman Mohajerin Esfahani
Tobias Sutter
Daniel Kuhn
John Lygeros
Published in:
SIAM J. Optim. (2018)
Keyphrases
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error bounds
approximate dynamic programming
linear program
reinforcement learning
finite sets
theoretical analysis
dynamic programming
stochastic dynamic programming
worst case
step size
control policy
finite number
optimization algorithm
average cost
random variables
linear programming
multiresolution