Epi-Consistent Approximation of Stochastic Dynamic Programs
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866912550566756352 |
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| author | Keehan, Dominic S. T. Royset, Johannes O. |
| author_facet | Keehan, Dominic S. T. Royset, Johannes O. |
| contents | We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilizing results on the epi-convergence of expectation functions with varying measures and integrands, and the Attouch--Wets distance, we show that appropriate equi-semicontinuity assumptions assure epi-consistency. A number of examples illustrate the approach. In particular, we permit both unbounded and simultaneously approximated stage-cost functions, and treat an example with approximated constraints. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_19028 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Epi-Consistent Approximation of Stochastic Dynamic Programs Keehan, Dominic S. T. Royset, Johannes O. Optimization and Control 90C15 (Primary) 90C39 (Secondary) We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilizing results on the epi-convergence of expectation functions with varying measures and integrands, and the Attouch--Wets distance, we show that appropriate equi-semicontinuity assumptions assure epi-consistency. A number of examples illustrate the approach. In particular, we permit both unbounded and simultaneously approximated stage-cost functions, and treat an example with approximated constraints. |
| title | Epi-Consistent Approximation of Stochastic Dynamic Programs |
| topic | Optimization and Control 90C15 (Primary) 90C39 (Secondary) |
| url | https://arxiv.org/abs/2501.19028 |