scholarly journals Toward Breaking the Curse of Dimensionality: An FPTAS for Stochastic Dynamic Programs with Multidimensional Actions and Scalar States

2019 ◽  
Vol 29 (2) ◽  
pp. 1131-1163
Author(s):  
Nir Halman ◽  
Giacomo Nannicini
Keyword(s):  
Curse Of Dimensionality ◽  
Stochastic Dynamic ◽  
Dynamic Programs

Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality

2021 ◽  
Author(s):  
David B. Brown ◽  
Jingwei Zhang
Keyword(s):  
Inventory Management ◽  
Fluid Model ◽  
Asymptotic Optimality ◽  
Capital Budgeting ◽  
Stochastic Dynamic ◽  
Performance Bounds ◽  
Sequential Decision ◽  
Shared Resources ◽  
Management Problems ◽  
Dynamic Programs

Allocating Resources Across Systems Coupled by Shared Information Many sequential decision problems involve repeatedly allocating a limited resource across subsystems that are jointly affected by randomly evolving exogenous factors. For example, in adaptive clinical trials, a decision maker needs to allocate patients to treatments in an effort to learn about the efficacy of treatments, but the number of available patients may vary randomly over time. In capital budgeting problems, firms may allocate resources to conduct R&D on new products, but funding budgets may evolve randomly. In many inventory management problems, firms need to allocate limited production capacity to satisfy uncertain demands at multiple locations, and these demands may be correlated due to vagaries in shared market conditions. In this paper, we develop a model involving “shared resources and signals” that captures these and potentially many other applications. The framework is naturally described as a stochastic dynamic program, but this problem is quite difficult to solve. We develop an approximation method based on a “dynamic fluid relaxation”: in this approximation, the subsystem state evolution is approximated by a deterministic fluid model, but the exogenous states (the signals) retain their stochastic evolution. We develop an algorithm for solving the dynamic fluid relaxation. We analyze the corresponding feasible policies and performance bounds from the dynamic fluid relaxation and show that these are asymptotically optimal as the number of subsystems grows large. We show that competing state-of-the-art approaches used in the literature on weakly coupled dynamic programs in general fail to provide asymptotic optimality. Finally, we illustrate the approach on the aforementioned dynamic capital budgeting and multilocation inventory management problems.

scholarly journals Information Relaxations, Duality, and Convex Stochastic Dynamic Programs

2014 ◽  
Vol 62 (6) ◽  
pp. 1394-1415 ◽  
Author(s):  
David B. Brown ◽  
James E. Smith
Keyword(s):  
Stochastic Dynamic ◽  
Dynamic Programs

Structural Properties of Stochastic Dynamic Programs

2002 ◽  
Vol 50 (5) ◽  
pp. 796-809 ◽  
Author(s):  
James E. Smith ◽  
Kevin F. McCardle
Keyword(s):  
Structural Properties ◽  
Stochastic Dynamic ◽  
Dynamic Programs

Fixed-Dimensional Stochastic Dynamic Programs: An Approximation Scheme and an Inventory Application

2014 ◽  
Vol 62 (1) ◽  
pp. 81-103 ◽  
Author(s):  
Wei Chen ◽  
Milind Dawande ◽  
Ganesh Janakiraman
Keyword(s):  
Approximation Scheme ◽  
Stochastic Dynamic ◽  
Dynamic Programs

scholarly journals Information Relaxations and Duality in Stochastic Dynamic Programs

2010 ◽  
Vol 58 (4-part-1) ◽  
pp. 785-801 ◽  
Author(s):  
David B. Brown ◽  
James E. Smith ◽  
Peng Sun
Keyword(s):  
Stochastic Dynamic ◽  
Dynamic Programs
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