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arXiv 2102.07464math.OC
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多阶段随机规划的基础

Foundations of Multistage Stochastic Programming

Paul Dommel, Alois Pichler

摘要:

多阶段随机最优化问题通常以路径方式非正式地表示。例如,这些在离散设置中是正确的,并且在解决计算挑战时是合适的。但路径问题陈述不允许用数学严谨性进行分析,因此是不合适的。本文论述了这些基础。通过引入适当的随机过程作为控制,给出了多阶段随机最优化问题的一种新的形式。基本的贡献是证明了存在可测版本的中间值函数。我们的证明建立在Kolmogorov连续性定理上。此外,给出了一个验证定理,并证明了所有传统的问题规格说明可以在新的设置与数学严谨。此外,我们提供的一般问题,这是为各种问题类开发的动态方程。这里涵盖的问题类包括马尔可夫决策过程,强化学习和随机对偶动态规划。

英文摘要:

Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computational challenges, for example. But the pathwise problem statement does not allow an analysis with mathematical rigor and is therefore not appropriate. This paper addresses the foundations. We provide a novel formulation of multistage stochastic optimization problems by involving adequate stochastic processes as control. The fundamental contribution is a proof that there exist measurable versions of intermediate value functions. Our proof builds on the Kolmogorov continuity theorem. A verification theorem is given in addition, and it is demonstrated that all traditional problem specifications can be stated in the novel setting with mathematical rigor. Further, we provide dynamic equations for the general problem, which is developed for various problem classes. The problem classes covered here include Markov decision processes, reinforcement learning and stochastic dual dynamic programming.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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