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Approximate dynamic programming for high dimensional resource allocation problems

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4 Author(s)
Powell, W.B. ; Dept. of Operations Res. & Financial Eng., Princeton Univ., NJ, USA ; George, A. ; Bouzaiene-Ayari, B. ; Simao, H.P.

There are wide arrays of discrete resource allocation problems (buffers in manufacturing, complex equipment in electric power, aircraft and locomotives in transportation) which need to be solved over time, under uncertainty. These can be formulated as dynamic programs, but typically exhibit high dimensional state, action and outcome variables (the three curses of dimensionality). For example, we have worked on problems where the dimensionality of these variables is in the ten thousand to one million range. We describe an approximation methodology for this problem class, and summarize the problem classes where the approach seems to be working well, and research challenges that we continue to face.

Published in:

Neural Networks, 2005. IJCNN '05. Proceedings. 2005 IEEE International Joint Conference on  (Volume:5 )

Date of Conference:

31 July-4 Aug. 2005