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Stochastic Dynamic Programming

Stochastic Dynamic Programming (SDP) is a mathematical optimization framework for sequential decision problems where outcomes are partly random. It extends Bellman's principle of optimality to stochastic environments, representing problems as Markov Decision Processes (MDPs) and computing optimal policies by solving recursive value equations over states and time periods.

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Stochastic Dynamic Programming (SDP) — Sequential decision-making under uncertainty via Markov decision processes

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Bellman, R. (1957). Dynamic Programming. Princeton University Press, Princeton, NJ. · ISBN 9780486428093
Puterman, M. L. (1994). Markov Decision Processes: Discrete Stochastic Dynamic Programming. John Wiley & Sons, New York. · ISBN 9780471619772

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Métodos relacionados

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