Forootani, Ali and Iervolino, Raffaele and Tipaldi, Massimo and Neilson, Joshua
(2020)
Approximate dynamic programming for stochastic resource allocation problems.
IEEE/CAA Journal of Automatica Sinica, 7 (4).
pp. 975-990.
ISSN 2329-9266
Abstract
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
| Item Type: |
Article
|
| Additional Information: |
Cite as: Forootani A. Approximate dynamic programming for stochastic resource allocation problems. IEEE/CAA journal of automatica sinica. 2020-07;7:975-990. |
| Keywords: |
—Approximate dynamic programming (ADP),
dynamic programming (DP); Markov decision processes (MDPs);
resource allocation problem; |
| Academic Unit: |
Faculty of Science and Engineering > Research Institutes > Hamilton Institute |
| Item ID: |
16104 |
| Identification Number: |
https://doi.org/10.1109/JAS.2020.1003231 |
| Depositing User: |
Ali Forootani
|
| Date Deposited: |
15 Jun 2022 09:22 |
| Journal or Publication Title: |
IEEE/CAA Journal of Automatica Sinica |
| Publisher: |
IEEE Explore |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
Repository Staff Only(login required)
 |
Item control page |
Downloads per month over past year
Origin of downloads
Altmetric
Altmetric