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arXiv · 1111.2658

Introducing the Adaptive Convex Enveloping

Sheng Yu·Enrique Campos-Nanez
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Abstract

Convexity, though extremely important in mathematical programming, has not drawn enough attention in the field of dynamic programming. This paper gives conditions for verifying convexity of the cost-to-go functions, and introduces an accurate, fast and reliable algorithm for solving convex dynamic programs with multivariate continuous states and actions, called Adaptive Convex Enveloping. This is a short introduction of the core technique created and used in my dissertation, so it is less formal, and misses some parts, such as literature review and reference, compared to a full journal paper.

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Sheng Yu, Enrique Campos-Nanez. 2011-11-11. Introducing the Adaptive Convex Enveloping. https://arxiv.org/abs/1111.2658

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