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Approximate Dynamic Programming by Practical Examples

In: Markov Decision Processes in Practice

Author

Listed:
  • Martijn R. K. Mes

    (University of Twente)

  • Arturo Pérez Rivera

    (University of Twente)

Abstract

Computing the exact solution of an MDP model is generally difficult and possibly intractable for realistically sized problem instances. A powerful technique to solve the large scale discrete time multistage stochastic control processes is Approximate Dynamic Programming (ADP). Although ADP is used as an umbrella term for a broad spectrum of methods to approximate the optimal solution of MDPs, the common denominator is typically to combine optimization with simulation, use approximations of the optimal values of the Bellman’s equations, and use approximate policies. This chapter aims to present and illustrate the basics of these steps by a number of practical and instructive examples. We use three examples (1) to explain the basics of ADP, relying on value iteration with an approximation of the value functions, (2) to provide insight into implementation issues, and (3) to provide test cases for the reader to validate its own ADP implementations.

Suggested Citation

  • Martijn R. K. Mes & Arturo Pérez Rivera, 2017. "Approximate Dynamic Programming by Practical Examples," International Series in Operations Research & Management Science, in: Richard J. Boucherie & Nico M. van Dijk (ed.), Markov Decision Processes in Practice, chapter 0, pages 63-101, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-47766-4_3
    DOI: 10.1007/978-3-319-47766-4_3
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    Citations

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    Cited by:

    1. Rempel, M. & Cai, J., 2021. "A review of approximate dynamic programming applications within military operations research," Operations Research Perspectives, Elsevier, vol. 8(C).
    2. Boschma, René & Mes, Martijn R.K. & de Vries, Leon R., 2023. "Approximate dynamic programming for container stacking," European Journal of Operational Research, Elsevier, vol. 310(1), pages 328-342.
    3. Karol Kowalewski, 2018. "Uwarunkowania rozwoju startupów – perspektywa północno-wschodniej Polski," Nowoczesne Systemy Zarządzania. Modern Management Systems, Military University of Technology, Faculty of Security, Logistics and Management, Institute of Organization and Management, issue 3, pages 245-257.
    4. Heydar, Mojtaba & Mardaneh, Elham & Loxton, Ryan, 2022. "Approximate dynamic programming for an energy-efficient parallel machine scheduling problem," European Journal of Operational Research, Elsevier, vol. 302(1), pages 363-380.
    5. Ibtihal Ferwana & Suyoung Park & Ting-Yi Wu & Lav R. Varshney, 2023. "Designing Discontinuities," Papers 2305.08559, arXiv.org, revised Dec 2023.
    6. Blair-Hamilton, Alexis & Raphael, Dennis, 2023. "A critical analysis of the Finnish Baby Box’s journey into the liberal welfare state: Implications for progressive public policymaking," Children and Youth Services Review, Elsevier, vol. 149(C).

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