Approximate Dynamic Programming for Stochastic Resource Allocation Problems

doi:10.1109/JAS.2020.1003231

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	Approximate Dynamic Programming for Stochastic Resource Allocation Problems
	Ali Forootani; Raffaele Iervolino; Massimo Tipaldi; Joshua Neilson
发表期刊	IEEE/CAA Journal of Automatica Sinica
ISSN	2329-9266
	2020
卷号	7 期号:4 页码:975-990
摘要	A stochastic resource allocation model, based on the principles of Markov decision processes (MDPs), is proposed in this paper. In particular, a general-purpose framework is developed, which takes into account resource requests for both instant and future needs. The considered framework can handle two types of reservations (i.e., specified and unspecified time interval reservation requests), and implement an overbooking business strategy to further increase business revenues. The resulting dynamic pricing problems can be regarded as sequential decision-making problems under uncertainty, which is solved by means of stochastic dynamic programming (DP) based algorithms. In this regard, Bellman’s backward principle of optimality is exploited in order to provide all the implementation mechanisms for the proposed reservation pricing algorithm. The curse of dimensionality, as the inevitable issue of the DP both for instant resource requests and future resource reservations, occurs. In particular, an approximate dynamic programming (ADP) technique based on linear function approximations is applied to solve such scalability issues. Several examples are provided to show the effectiveness of the proposed approach.
关键词	Approximate dynamic programming (ADP) dynamic programming (DP) Markov decision processes (MDPs) resource allocation problem
DOI	10.1109/JAS.2020.1003231
引用统计	被引频次：22[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.ia.ac.cn/handle/173211/43006
专题	学术期刊_IEEE/CAA Journal of Automatica Sinica
推荐引用方式 GB/T 7714	Ali Forootani,Raffaele Iervolino,Massimo Tipaldi,et al. Approximate Dynamic Programming for Stochastic Resource Allocation Problems[J]. IEEE/CAA Journal of Automatica Sinica,2020,7(4):975-990.
APA	Ali Forootani,Raffaele Iervolino,Massimo Tipaldi,&Joshua Neilson.(2020).Approximate Dynamic Programming for Stochastic Resource Allocation Problems.IEEE/CAA Journal of Automatica Sinica,7(4),975-990.
MLA	Ali Forootani,et al."Approximate Dynamic Programming for Stochastic Resource Allocation Problems".IEEE/CAA Journal of Automatica Sinica 7.4(2020):975-990.

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