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Parameter-free Sampled Fictitious Play for Solving Deterministic Dynamic Programming Problems

Irina Dolinskaya(dolira***at***northwestern.edu)
Marina Epelman(mepelman***at***umich.edu)
Esra Sisikoglu(esras***at***antalya.edu.tr)
Robert L. Smith(rlsmith***at***umich.edu)

Abstract: To facilitate fast solution of deterministic dynamic programming problems, we present a parameter-free variation of the Sampled Fictitious Play (SFP) algorithm. Its random tie-braking procedure imparts a natural randomness to the algorithm which prevents it from ``getting stuck'' at a local optimal solution and allows the discovery of an optimal path in a finite number of iterations. Furthermore, we illustrate through an application to maritime navigation that, in practice, parameter-free SFP finds a high quality solution after only a few iterations, in contrast with traditional methods.

Keywords: Sampled Fictitious Play, Dynamic Programming, Maritime navigation

Category 1: Network Optimization

Category 2: Other Topics (Dynamic Programming )

Category 3: Applications -- OR and Management Sciences (Transportation )

Citation: Working Paper No. 14-04, Department of Industrial Engineering and Management Sciences Northwestern University, Evanston, Illinois, 60208-3119, U.S.A. November 2014

Download: [PDF]

Entry Submitted: 11/20/2014
Entry Accepted: 11/21/2014
Entry Last Modified: 11/20/2014

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