NONLINEAR PROGRAMMING IN APPROXIMATE DYNAMIC PROGRAMMING - Bang-bang Solutions, Stock-management and Unsmooth Penalties

Olivier Teytaud, Sylvain Gelly



Many stochastic dynamic programming tasks in continuous action-spaces are tackled through discretization. We here avoid discretization; then, approximate dynamic programming (ADP) involves (i) many learning tasks, performed here by Support Vector Machines, for Bellman-function-regression (ii) many non-linear-optimization tasks for action-selection, for which we compare many algorithms. We include discretizations of the domain as particular non-linear-programming-tools in our experiments, so that by the way we compare optimization approaches and discretization methods. We conclude that robustness is strongly required in the non-linear-optimizations in ADP, and experimental results show that (i) discretization is sometimes inefficient, but some specific discretization is very efficient for ”bang-bang” problems (ii) simple evolutionary tools out-perform quasi-random in a stable manner (iii) gradient-based techniques are much less stable (iv) for most high-dimensional ”less unsmooth” problems Covariance-Matrix-Adaptation is first ranked.


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Paper Citation

in Harvard Style

Teytaud O. and Gelly S. (2007). NONLINEAR PROGRAMMING IN APPROXIMATE DYNAMIC PROGRAMMING - Bang-bang Solutions, Stock-management and Unsmooth Penalties . In Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-972-8865-82-5, pages 47-54. DOI: 10.5220/0001645800470054

in Bibtex Style

author={Olivier Teytaud and Sylvain Gelly},
title={NONLINEAR PROGRAMMING IN APPROXIMATE DYNAMIC PROGRAMMING - Bang-bang Solutions, Stock-management and Unsmooth Penalties},
booktitle={Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},

in EndNote Style

JO - Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - NONLINEAR PROGRAMMING IN APPROXIMATE DYNAMIC PROGRAMMING - Bang-bang Solutions, Stock-management and Unsmooth Penalties
SN - 978-972-8865-82-5
AU - Teytaud O.
AU - Gelly S.
PY - 2007
SP - 47
EP - 54
DO - 10.5220/0001645800470054