Solving control problems with linear state dynamics - A practical user guide

Publication Type:
Conference Proceeding
Citation:
Proceedings - 2nd International Symposium on Stochastic Models in Reliability Engineering, Life Science, and Operations Management, SMRLO 2016, 2016, pp. 591 - 596
Issue Date:
2016-03-11
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© 2016 IEEE. In industrial applications, practitioners usually facea considerable complexity when optimizing operating strategiesunder uncertainty. Typical real-world problems arising in practiceare notoriously challenging from a computational viewpoint, requiring solutions to Markov Decision problems in high dimensions. In this work, we address a novel approach to obtain anapproximate solution to a certain class of problems, whose stateprocess follows a controlled linear dynamics. Our techniques isillustrated by an implementation within the statistical languageR, which we discuss by solving a typical problem arising in practice.
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