On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming

  • Authors:
  • Daniela Pucci de Farias;Benjamin Van Roy

  • Affiliations:
  • -;-

  • Venue:
  • Mathematics of Operations Research
  • Year:
  • 2004

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Abstract

In the linear programming approach to approximate dynamic programming, one tries to solve a certain linear program--the ALP--that has a relatively small numberK of variables but an intractable numberM of constraints. In this paper, we study a scheme that samples and imposes a subset ofm