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Nonlinear programming in approximate dynamic programming - bang-bang solutions, stock-management and unsmooth penalties.
Olivier Teytaud
Sylvain Gelly
Published in:
ICINCO-ICSO (2007)
Keyphrases
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approximate dynamic programming
nonlinear programming
linear programming
linear program
variational inequalities
optimization problems
dynamic programming
step size
optimal solution
linear constraints
exact algorithms
reinforcement learning
least squares
fixed point