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Quadratic Approximate Dynamic Programming for Input-Affine Systems
approximate dynamic programming stochastic control convex optimization
2015/7/9
We consider the use of quadratic approximate value functions for stochastic control problems with input-affine dynamics and convex stage cost and constraints. Evaluating the approximate dynamic progra...
Approximate group context tree: applications to dynamic programming and dynamic choice models
categorical time series group context tree
2011/7/19
The paper considers a variable length Markov chain model associated with a group of stationary processes that share the same context tree but potentially different conditional probabilities.