Sample-path optimization of convex stochastic performance functions.
Erica L. PlambeckBor-Ruey FuStephen M. RobinsonRajan SuriPublished in: Math. Program. (1996)
Keyphrases
- sample path
- asymptotic analysis
- markov chain
- serial inventory systems
- stationary points
- base stock policies
- policy iteration
- large deviations
- constrained optimization
- optimization problems
- average reward
- lost sales
- nonlinear programming
- state dependent
- markov decision processes
- steady state
- monte carlo
- learning algorithm