Stable LInear Approximations to Dynamic Programming for Stochastic Control Problems with Local Transitions

Recently, however, there have been some successful applications of neural networks in a totally different context - that of sequential decision making under uncertainty (stochastic control). Stochastic control problems have been studied extensively in the operations research and control theory literature for a long time, using the methodology of dynamic programming [Bertsekas, 1995]. In dynamic programming, the most important object is the cost-to-go (or value) junction, which evaluates the expected future 1046 B.V. ROY, 1. N. TSITSIKLIS