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Generalized Dual Dynamic Programming for Infinite-Horizon Control Problems


J. Warrington

Ifa Internal Seminar Series, Zurich

Dual Dynamic Programming (DDP) attracted significant interest from the 1990s onwards as a means of solving complex multi-stage problems, particularly in the area of hydro reservoir optimization. DDP’s strength lies in its ability to generate a series of globally-valid lower-bounding hyperplanes of a value function from individual instances of a one-stage problem. This is attractive in cases where a long planning horizon and/or complex system model renders a one-shot solution of the original problem impossible. In this presentation we describe a generalization of DDP theory and its application to value function estimation for infinite-horizon control problems.


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