Introducing the Adaptive Convex Enveloping

Details Introducing the Adaptive Convex Enveloping Introducing the Adaptive Convex Enveloping

2011-11-11

arxiv.org/abs/1111.2658v1

Mathematics

Optimization and Control

A short introduction of the core technique created and used in my dissertation. 12 pages

Scientific paper

Convexity, though extremely important in mathematical programming, has not drawn enough attention in the field of dynamic programming. This paper gives conditions for verifying convexity of the cost-to-go functions, and introduces an accurate, fast and reliable algorithm for solving convex dynamic programs with multivariate continuous states and actions, called Adaptive Convex Enveloping. This is a short introduction of the core technique created and used in my dissertation, so it is less formal, and misses some parts, such as literature review and reference, compared to a full journal paper.

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