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Neuro-Dynamic Programming: An Overview and Recent Results

In: Operations Research Proceedings 2006

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  • Dimitri P. Bertsekas

    (Massachusetts Institute of Technology)

Abstract

Neuro-dynamic programming is a methodology for sequential decision making under uncertainty, which is based on dynamic programming. The key idea is to use a scoring function to select decisions in complex dynamic systems, arising in a broad variety of applications from engineering design, operations research, resource allocation, finance, etc. This is much like what is done in computer chess, where positions are evaluated by means of a scoring function and the move that leads to the position with the best score is chosen. Neuro-dynamic programming provides a class of systematic methods for computing appropriate scoring functions using approximation schemes and simulation/evaluation of the system’s performance.

Suggested Citation

  • Dimitri P. Bertsekas, 2007. "Neuro-Dynamic Programming: An Overview and Recent Results," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 71-72, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_11
    DOI: 10.1007/978-3-540-69995-8_11
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