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An asymptotically efficient algorithm for finite horizon stochastic dynamic programming problems.

Hyeong Soo ChangMichael C. FuSteven I. Marcus
Published in: CDC (2003)
Keyphrases
  • worst case
  • objective function
  • cost function
  • dynamic programming
  • learning algorithm
  • search space
  • finite horizon
  • optimal solution
  • np hard
  • convergence rate
  • stochastic dynamic programming