Extends policy graphs for decision-dependent uncertainty in MDPs and develops SDDP variants for multi-stage stochastic programs with continuous state and action spaces.
INFORMS Journal on Computing22(2), 266–281 (2010)
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MDP modeling for multi-stage stochastic programs
Extends policy graphs for decision-dependent uncertainty in MDPs and develops SDDP variants for multi-stage stochastic programs with continuous state and action spaces.