Control Optimization with Stochastic Dynamic Programming
This chapter focuses on a problem of control optimization, in particular the Markov decision problem (or process). Our discussions will be at a very elementary level, and we will not attempt to prove any theorems. The central aim of this chapter is to int
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Abhijit Gosavi
SimulationBased Optimization Parametric Optimization Techniques and Reinforcement Learning Second Edition
Operations Research/Computer Science Interfaces Series
Volume 55
Series Editors: Ramesh Sharda Oklahoma State University, Stillwater, Oklahoma, USA Stefan Voß University of Hamburg, Hamburg, Germany
More information about this series at http://www.springer.com/series/6375
Abhijit Gosavi
Simulation-Based Optimization Parametric Optimization Techniques and Reinforcement Learning Second Edition
123
Abhijit Gosavi Department of Engineering Management and Systems Engineering Missouri University of Science and Technology Rolla, MO, USA
ISSN 1387-666X ISBN 978-1-4899-7490-7 ISBN 978-1-4899-7491-4 (eBook) DOI 10.1007/978-1-4899-7491-4 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2014947352 © Springer Science+Business Media New York 2003, 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To my parents: Ashok D. Gosavi and Sanjivani A. Gosavi
Preface
This book is written for students and researchers in the field of industrial engineering, computer science, operations research, management science, electrical engineering, and applied mathematics. The aim is to introduce the reader to a subset of topics
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