Fast value iteration: an application of Legendre-Fenchel duality to a class of deterministic dynamic programming problems in discrete time

Ronaldo Carpio,Takashi Kamihigashi

Fast value iteration: an application of Legendre-Fenchel duality to a class of deterministic dynamic programming problems in discrete time

2020

Ronaldo Carpio
Takashi Kamihigashi

ABSTRACTWe propose an algorithm, which we call ‘Fast Value Iteration’ (FVI), to compute the value function of a deterministic infinite-horizon dynamic programming problem in discrete time. FVI is a...

Keywords:

Applied mathematics
fenchel duality
Dynamic programming
Markov decision process
Legendre polynomials
Mathematical optimization
Discrete time and continuous time
Mathematics
Bellman equation
Convex analysis

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