Session Detail Information
Add this session to your itinerary

Cluster :  Tutorials

Session Information  : Wednesday Nov 08, 08:00 - 09:30

Title:  Tutorial: Approximate Dynamic Programming for Large-Scale Resource Allocation

Abstract Details

Title: Approximate Dynamic Programming for High-dimensional Applications
 Presenting Author: Warren B. Powell,Department of Operations Research and Financial Engineering, Princeton University, Princeton NJ 08544, powell@princeton.edu
 Co-Author: Huseyin Topaloglu,Assistant Professor, Cornell University, 223 Rhodes Hall, Ithaca NY 14853, United States, huseyin@orie.cornell.edu
 
Abstract: We show how dynamic programming and math programming can be merged to solve very high-dimensional applications under the umbrella of approximate dynamic programming. Using a form of Bellman’s equation constructed around the post-decision state variable, we obtain simple, scalable algorithms that have been applied to large scale, industrial applications. The techniques are illustrated using applications from transportation, supply chain management, financial portfolios and blood management.