MDP modeling for multi-stage stochastic programs
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866914454541697024 |
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| author | Morton, David P. Dowson, Oscar Pagnoncelli, Bernardo K. |
| author_facet | Morton, David P. Dowson, Oscar Pagnoncelli, Bernardo K. |
| contents | We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include decision-dependent uncertainty for one-step transition probabilities as well as a limited form of statistical learning. We focus on the expressiveness of our modeling approach, illustrating ideas with a series of examples of increasing complexity. As a solution method, we develop new variants of stochastic dual dynamic programming, including approximations to handle non-convexities. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_22981 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | MDP modeling for multi-stage stochastic programs Morton, David P. Dowson, Oscar Pagnoncelli, Bernardo K. Machine Learning Optimization and Control 90C15, 90C40 We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include decision-dependent uncertainty for one-step transition probabilities as well as a limited form of statistical learning. We focus on the expressiveness of our modeling approach, illustrating ideas with a series of examples of increasing complexity. As a solution method, we develop new variants of stochastic dual dynamic programming, including approximations to handle non-convexities. |
| title | MDP modeling for multi-stage stochastic programs |
| topic | Machine Learning Optimization and Control 90C15, 90C40 |
| url | https://arxiv.org/abs/2509.22981 |