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Approximate Dynamic Programming PDF

136 Pages·2008·5.06 MB·English
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Approximate Dynamic Programming: Solving the curses of dimensionality Informs Computing Society Tutorial October, 2008 Warren Powell CASTLE Laboratory Princeton University http://www.castlelab.princeton.edu © 2008 Warren B. Powell, Princeton University © 2008 Warren B. Powell Slide 1 © 2008 Warren B. Powell Slide 2 © 2008 Warren B. Powell Slide 3 The fractional jet ownership industry © 2008 Warren B. Powell Slide 4 NetJets Inc. © 2008 Warren B. Powell Slide 5 Schneider National © 2008 Warren B. Powell Slide 6 Schneider National © 2008 Warren B. Powell Slide 7 Planning for a risky world Weather •Robust design of emergency response networks. •Design of financial instruments to hedge against weather emergencies to protect individuals, companies and municipalities. •Design of sensor networks and communication systems to manage responses to major weather events. Disease •Models of disease propagation for response planning. •Management of medical personnel, equipment and vaccines to respond to a disease outbreak. •Robust design of supply chains to mitigate the disruption of transportation systems. © 2008 Warren B. Powell Slide 8 Energy management Energy resource allocation • What is the right mix of energy technologies? • How should the use of different energy resources be coordinated over space and time? • What should my energy R&D portfolio look like? • Should I invest in nuclear energy? • What is the impact of a carbon tax? Energy markets • How should I hedge energy commodities? • How do I price energy assets? • What is the right price for energy futures? © 2008 Warren B. Powell Slide 9 High value spare parts Electric Power Grid •PJM oversees an aging investment in high- voltage transformers. •Replacement strategy needs to anticipate a bulge in retirements and failures •1-2 year lag times on orders. Typical cost of a replacement ~ $5 million. •Failures vary widely in terms of economic impact on the network. Spare parts for business jets •ADP is used to determine purchasing and allocation strategies for over 400 high value spare parts. •Inventory strategy has to determine what to buy, when and where to store it. Many parts are very low volume (e.g. 7 spares spread across 15 service centers). •Inventories have to meet global targets on level of service and inventory costs. © 2008 Warren B. Powell Slide 10

Description:
2008 Warren B. Powell. Slide 27. Introduction to ADP. ▫ The challenge of dynamic programming: ▫ Problem: Curse of dimensionality. {. } (. ) 1. 1. ( ) max ( , ). ( )| t t t t t t t t x. V S. C S x E V S. S. +. +. ∈. = +. X. Three curses. State space. Outcome space. Action space (feasible regio
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