Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...

Materials Warren B. Powell; Approximate Dynamic Programming: Solving the Courses of Dimensionality; John Wiley & Sons, 2007. [topics 5 and 6 not in the textbook] prerequisites Basic knowledge of ...

The curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of large-scale stochastic control problems. We study an efficient method ...