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MIDAS: A Mixed Integer Dynamic Approximation Scheme

Andy Philpott (a.philpott***at***auckland.ac.nz)
Faisal Wahid (faisal.wahid***at***gmail.com)
Frederic Bonnans (Frederic.Bonnans***at***inria.fr)

Abstract: Mixed Integer Dynamic Approximation Scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to an epsilon-optimal policy when the Bellman functions are known to be continuous, and the sampling process satisfies standard assumptions.

Keywords: stochastic integer programming, dynamic programming

Category 1: Stochastic Programming

Category 2: Other Topics (Dynamic Programming )

Citation: Technical Report, Electric Power Optimization Centre, University of Auckland, May, 2016 (www.epoc.org.nz)

Download: [PDF]

Entry Submitted: 05/07/2016
Entry Accepted: 05/08/2016
Entry Last Modified: 06/15/2016

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