ABSTRACT DYNAMIC PROGRAMMING MODELS UNDER COMMUTATIVITY CONDITIONS.

Sergio Verdu, H. Vincent Poor

Research output: Contribution to journalArticlepeer-review

55 Scopus citations

Abstract

The unifying purpose of the abstract dynamic programming models is to find sufficient conditions on the recursive definition of the objective function that guarantee the validity of the dynamic programming iteration. This paper presents backward, forward, and backward-forward models that weaken previous sufficient conditions and that include, but are not restricted to, optimization problems. The backward-forward model is devoted to the simultaneous solution of a collection of interrelated sequential problems based on the independent computation of a cost-to-arrive function and a cost-to-go function. Several extremization and nonextremization problems illustrate the applicability of the proposed models.

Original languageEnglish (US)
Pages (from-to)990-1006
Number of pages17
JournalSIAM Journal on Control and Optimization
Volume25
Issue number4
DOIs
StatePublished - Jan 1 1987

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

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