Information Relaxations, Duality, and Convex Dynamic Programs
We consider the information relaxation approach for calculating performance bounds for stochastic dynamic programs (DPs), following Brown, Smith, and Sun (2010). This approach generates performance bounds by solving problems with relaxed nonanticipativity constraints and a penalty that punishes violations of these nonanticipativity constraints. In this paper, we study DPs that have a convex structure and … Read more