Mixed Integer Dynamic Approximation Scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to an epsilon-optimal policy when the Bellman functions are known to be continuous, and the sampling process satisfies standard assumptions.
Citation
Technical Report, Electric Power Optimization Centre, University of Auckland, May, 2016 (www.epoc.org.nz)