Minimum and Worst‐Case Performance Ratios of Rollout Algorithms

Minimum and Worst‐Case Performance Ratios of Rollout Algorithms

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Article ID: iaor2012454
Volume: 152
Issue: 2
Start Page Number: 378
End Page Number: 393
Publication Date: Feb 2012
Journal: Journal of Optimization Theory and Applications
Authors:
Keywords: programming: dynamic, stochastic processes, combinatorial optimization
Abstract:

Rollout algorithms are heuristic algorithms that can be applied to solve deterministic and stochastic dynamic programming problems. The basic idea is to use the cost obtained by applying a well known heuristic, called the base policy, to approximate the value of the optimal cost‐to‐go. We develop a theoretical approach to prove, for the 0‐1 knapsack problem, that the minimum performance ratio of the rollout algorithms tends to be significantly greater when the performance ratio of the corresponding base policy is poor and that the worst‐case performance ratio is significantly better than the one of the corresponding base policies.

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