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SUMMARY:From Infinite to Finite Programs: Explicit Error Bounds with Appli
 cations to Approximate Dynamic Programming -  Tobias Sutter\, ETH Zurich
DTSTART:20170301T140000Z
DTEND:20170301T150000Z
UID:TALK70784@talks.cam.ac.uk
CONTACT:Rachel Furner
DESCRIPTION:We consider linear programming (LP) problems in infinite dimen
 sional spaces that are in general computationally intractable. Under suita
 ble assumptions\, we develop an approximation bridge from the infinite-dim
 ensional LP to tractable finite convex programs in which the performance o
 f the approximation is quantified explicitly. To this end\, we adopt the r
 ecent developments in two areas of randomized optimization and first order
  methods\, leading to a priori as well as a posterior performance guarante
 es. We illustrate the generality and implications of our theoretical resul
 ts in the special case of the long-run average cost and discounted cost op
 timal control problems for Markov decision processes on Borel spaces. The 
 applicability of the theoretical results is demonstrated through a constra
 ined linear quadratic optimal control problem and a fisheries management p
 roblem.
LOCATION:MR14 Centre for Mathematical Sciences
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