Article ID: | iaor19881207 |
Country: | United States |
Volume: | 34 |
Issue: | 6 |
Start Page Number: | 589 |
End Page Number: | 598 |
Publication Date: | Jun 1989 |
Journal: | IEEE Transactions On Automatic Control |
Authors: | Bertsekas Dimitri P., Castaon David A. |
The authors propose a class of iterative aggregation algorithms for solving infinite horizon dynamic programming problems. The idea is to interject aggregation iterations in the course of the usual successive approximation method. An important new feature that sets the present method apart from earlier proposals is that the aggregate groups of states change adaptively from one aggregation iteration to the next, depending on the progress of the computation. This allows acceleration of convergence in difficult problems involving multiple ergodic classes for which methods using fixed groups of aggregate states are ineffective. No knowledge of special problem structure is utilized by the algorithms.