Discretizing Dynamic Programs.
ResearchPublished 1970
Procedure for obtaining finite-state approximations to uncountable-state dynamic programs when the state space need not be compact. Except in rare cases, it is necessary to discretize uncountable-state dynamic programs to obtain even an approximate solution. This paper describes a procedure for discretizing dynamic programs which begins by assuming that the state space is compact; a finite grid is constructed so that any point in the space is in the neighborhood of a grid point. The problem is then to find conditions such that the approximations converge to the solution of the original problem as the mesh becomes finer. A two-step approximation procedure is developed for a space that is not compact. The result obtained here complements the analogous result in RM-6195 for denumerable-state programs. 7 pp. Ref.
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- Copyright: RAND Corporation
- Availability: Available
- Year: 1970
- Print Format: Paperback
- Paperback Pages: 7
- Paperback Price: $20.00
- Document Number: P-4357
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Fox, Bennett L., Discretizing Dynamic Programs. RAND Corporation, P-4357, 1970. As of September 20, 2024: https://www.rand.org/pubs/papers/P4357.html
Fox, Bennett L., Discretizing Dynamic Programs. Santa Monica, CA: RAND Corporation, 1970. https://www.rand.org/pubs/papers/P4357.html. Also available in print form.
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