Partially observable multistage stochastic programming.
Oscar DowsonDavid P. MortonBernardo K. PagnoncelliPublished in: Oper. Res. Lett. (2020)
Keyphrases
- partially observable
- multistage stochastic
- linear program
- portfolio selection
- multistage
- decision problems
- reinforcement learning
- state space
- markov decision processes
- capacity expansion
- dynamical systems
- integer program
- infinite horizon
- stochastic programming
- cutting plane
- belief state
- dynamic programming
- linear programming
- np hard
- reward function
- column generation
- optimal policy
- optimal solution
- integer programming
- learning algorithm
- orders of magnitude
- search space