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CATEGORIES:CCIMI Seminars
SUMMARY:From Infinite to Finite Programs: Explicit Error B
ounds with Applications to Approximate Dynamic Pro
gramming - Tobias Sutter\, ETH Zurich
DTSTART;TZID=Europe/London:20170301T140000
DTEND;TZID=Europe/London:20170301T150000
UID:TALK70784AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/70784
DESCRIPTION:We consider linear programming (LP) problems in in
finite dimensional spaces that are in general comp
utationally intractable. Under suitable assumption
s\, we develop an approximation bridge from the in
finite-dimensional LP to tractable finite convex p
rograms in which the performance of the approximat
ion is quantified explicitly. To this end\, we ado
pt the recent developments in two areas of randomi
zed optimization and first order methods\, leading
to a priori as well as a posterior performance gu
arantees. We illustrate the generality and implica
tions of our theoretical results in the special ca
se of the long-run average cost and discounted cos
t optimal control problems for Markov decision pro
cesses on Borel spaces. The applicability of the t
heoretical results is demonstrated through a const
rained linear quadratic optimal control problem an
d a fisheries management problem.
LOCATION:MR14 Centre for Mathematical Sciences
CONTACT:Rachel Furner
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