Approximate dynamic programming for stochastic linear control problems on compact state spaces
European Journal of Operational Research, pp. 85-98, 2015.
•Proof of existence of optimal policies for stochastic linear control problems.•Proof of existence of convex bounded solutions to Average Cost Optimality Equation.•New ADP algorithm providing good policies and lower bounds to the optimal costs.•Tests of algorithm on multiple sourcing where optimality gap can be bounded by 5%.•On all teste...More
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