Nov. 10 2008 10:45AM

Nov. 10 2008 1:30PM

In this presentation, we introduce an efficient algorithm for optimal decision strategy approximation. It approximates the Bellman equation without omitting the principal uncertainty stemming from an incomplete knowledge. Thus, the approximated optimal strategy retains the ability to constantly verify the actual knowledge, which is the essence of dual control.
An integral part of the proposed solution is a reduction of memory demands using HDMR approximation. The result of this method is a linear algebraic system for an approximated upper bound on the Bellman function. One illustrative example has been completely resolved.

Pravidelný seminář Rozhodování a řízení za neurčitosti. (Kontaktní osoba: Miroslav Kárný)