An approximation approach with computable error bounds is derived for a class of stochastic dynamic optimization problems that are too complex to be exactly solvable by straightforward dynamic programming. In particular, a problem arising from oil exploration is considered: for this problem, using the proposed approach, computational results are derived and compared to those obtained by means of other recent approximation schemes.
An Approximation Scheme for Stochastic Dynamic Optimization Problems.
ANDREATTA, GIOVANNI;RUNGGALDIER, WOLFGANG JOHANN
1986
Abstract
An approximation approach with computable error bounds is derived for a class of stochastic dynamic optimization problems that are too complex to be exactly solvable by straightforward dynamic programming. In particular, a problem arising from oil exploration is considered: for this problem, using the proposed approach, computational results are derived and compared to those obtained by means of other recent approximation schemes.
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