Abstraction and approximate decision-theoretic planning
Artificial Intelligence
Solving very large weakly coupled Markov decision processes
AAAI '98/IAAI '98 Proceedings of the fifteenth national/tenth conference on Artificial intelligence/Innovative applications of artificial intelligence
Policy Iteration for Factored MDPs
UAI '00 Proceedings of the 16th Conference on Uncertainty in Artificial Intelligence
Exploiting structure in policy construction
IJCAI'95 Proceedings of the 14th international joint conference on Artificial intelligence - Volume 2
Decomposition techniques for planning in stochastic domains
IJCAI'95 Proceedings of the 14th international joint conference on Artificial intelligence - Volume 2
Model minimization in Markov decision processes
AAAI'97/IAAI'97 Proceedings of the fourteenth national conference on artificial intelligence and ninth conference on Innovative applications of artificial intelligence
Hierarchical solution of Markov decision processes using macro-actions
UAI'98 Proceedings of the Fourteenth conference on Uncertainty in artificial intelligence
Flow-Based combinatorial chance constraints
CPAIOR'12 Proceedings of the 9th international conference on Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems
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In this work we focus on efficient heuristics for solving a class of stochastic planning problems that arise in a variety of business, investment, and industrial applications. The problem is best described in terms of future buy and sell contracts. By buying less reliable, but less expensive, buy (supply) contracts, a company or a trader can cover a position of more reliable and more expensive sell contracts. The goal is to maximize the expected net gain (profit) by constructing a close to optimum portfolio out of the available buy and sell contracts. This stochastic planning problem can be formulated as a two-stage stochastic linear programming problem with recourse. However, this formalization leads to solutions that are exponential in the number of possible failure combinations. Thus, this approach is not feasible for large scale problems. In this work we investigate heuristic approximation techniques alleviating the efficiency problem. We primarily focus on the clustering approach and devise heuristics for finding clusterings leading to good approximations. We illustrate the quality and feasibility of the approach through experimental data.