Abstract
Neuro-dynamic programming is a methodology for sequential decision making under uncertainty, which is based on dynamic programming. The key idea is to use a scoring function to select decisions in complex dynamic systems, arising in a broad variety of applications from engineering design, operations research, resource allocation, finance, etc. This is much like what is done in computer chess, where positions are evaluated by means of a scoring function and the move that leads to the position with the best score is chosen. Neuro-dynamic programming provides a class of systematic methods for computing appropriate scoring functions using approximation schemes and simulation/evaluation of the system’s performance.
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References
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Bertsekas, D.P. (2007). Neuro-Dynamic Programming: An Overview and Recent Results. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_11
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DOI: https://doi.org/10.1007/978-3-540-69995-8_11
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