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Introduction à la programmation dynamique

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  • Pierre Duharcourt
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    Abstract

    [fre] La programmation dynamique est une méthode d'optimisation des processus de décisions séquentielles. Elle s'appuie sur l'algorithme de Bellman dont la traduction sur le graphe associé au processus supposé discret permet de rechercher le chemin de valeur optimale partie. Les programmes les plus simples sont ceux où l'avenir est déterminé intérêt de l'algorithme est évident quand le caractère combinatoire du problème amène à comparer un très grand nombre de politiques (2e partie). Mais dans beaucoup de cas concrets l'avenir est incertain. Dans le cas où il est probabilisable il est possible de comparer les stratégies en les évaluant après leur espérance mathématique. Ce critère est cependant pas suffisant où les distributions de probabilité sont trop dispersées. Il est inapplicable dans le cas d'un avenir non probabilisable: les différents critères de choix qu'on peut alors utiliser sont parfois contradictoires donc peu satisfaisants (3e partie). [eng] Dynamic programming is a means of optimising sequential decision processes. It is based on Bellman's algorithm, which when expressed on the process graph (taken as discrete), makes it possible to fincl the path of optimal value (lst part). The simplest programmes are those which have a determinate future : the value of the algorithm is clear where the combinative character of the problem entails comparison of a large number of policies (2nd part). But the future is uncertain in a large number of cases. Where it can be probabilised we may compare strategies by assessing them on their inathematical expectancy. But this criterion is inadequate where probability distributions are too wiclely dispersed. It is inapplicable in cases where there is no probabilisable future : the various criteria that can then be employee! in selection are sometimes contraclictory and therefore unsatisfactory (3rd part).

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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue économique.

    Volume (Year): 20 (1969)
    Issue (Month): 2 ()
    Pages: 182-234

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    Handle: RePEc:prs:reveco:reco_0035-2764_1969_num_20_2_407859

    Note: DOI:10.2307/3500248
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

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