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 ...

ABSTRACT. The linear programming approach to approximate dynamic programming has received considerable attention in the recent network revenue management (RM) literature. A major challenge of the ...

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 ...