policy graph

MDP modeling for multi-stage stochastic programs

  • David P. Morton
  • Oscar Dowson
  • Bernardo K. Pagnoncelli
    • Categories Stochastic Programming Tags , , , ,

    We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous state and action spaces. We extend policy graphs to include decision-dependent uncertainty for one-step transition probabilities as well as a limited form of statistical learning. We focus on the expressiveness of … Read more

    The policy graph decomposition of multistage stochastic optimization problems

  • Oscar Dowson
    • Categories Stochastic Programming Tags , , ,

    We propose the policy graph as a way of formulating multistage stochastic optimization problems. We also propose an extension to the stochastic dual dynamic programming algorithm to solve a class of problems formulated as a policy graph. This class includes discrete-time, infinite horizon, multistage stochastic optimization problems with continuous state and control variables. ArticleDownload View … Read more