Stochastic decomposition: an algorithm for two-state linear programs with recourse
Mathematics of Operations Research
A counterexample to temporal differences learning
Neural Computation
Feature-based methods for large scale dynamic programming
Machine Learning - Special issue on reinforcement learning
Neuro-Dynamic Programming
The optimizing-simulator: merging simulation and optimization using approximate dynamic programming
WSC '05 Proceedings of the 37th conference on Winter simulation
Dynamic-Programming Approximations for Stochastic Time-Staged Integer Multicommodity-Flow Problems
INFORMS Journal on Computing
Approximate Dynamic Programming: Solving the Curses of Dimensionality (Wiley Series in Probability and Statistics)
An Optimal Approximate Dynamic Programming Algorithm for the Lagged Asset Acquisition Problem
Mathematics of Operations Research
Using approximate dynamic programming to optimize admission control in cloud computing environment
Proceedings of the Winter Simulation Conference
Sourcing strategies in supply risk management: An approximate dynamic programming approach
Computers and Operations Research
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Approximate dynamic programming is emerging as a powerful tool for certain classes of multistage stochastic, dynamic problems that arise in operations research. It has been applied to a wide range of problems spanning complex financial management problems, dynamic routing and scheduling, machine scheduling, energy management, health resource management, and very large-scale fleet management problems. It offers a modeling framework that is extremely flexible, making it possible to combine the strengths of simulation with the intelligence of optimization. Yet it remains a sometimes frustrating algorithmic strategy which requires considerable intuition into the structure of a problem. There are a number of algorithmic choices that have to be made in the design of a complete ADP algorithm. This tutorial describes the author's experiences with many of these choices in the course of solving a wide range of problems.