Adaptive aggregation methods for infinite horizon dynamic programming

Adaptive aggregation methods for infinite horizon dynamic programming

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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: ,
Abstract:

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.

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