@misc{HeinzKaibelPeinhardtetal.2006, author = {Heinz, Stefan and Kaibel, Volker and Peinhardt, Matthias and Rambau, J{\"o}rg and Tuchscherer, Andreas}, title = {LP-Based Local Approximation for Markov Decision Problems}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-9131}, number = {06-20}, year = {2006}, abstract = {The standard computational methods for computing the optimal value functions of Markov Decision Problems (MDP) require the exploration of the entire state space. This is practically infeasible for applications with huge numbers of states as they arise, e.\,g., from modeling the decisions in online optimization problems by MDPs. Exploiting column generation techniques, we propose and apply an LP-based method to determine an \$\varepsilon\$-approximation of the optimal value function at a given state by inspecting only states in a small neighborhood. In the context of online optimization problems, we use these methods in order to evaluate the quality of concrete policies with respect to given initial states. Moreover, the tools can also be used to obtain evidence of the impact of single decisions. This way, they can be utilized in the design of policies.}, language = {en} } @misc{HelmesRoehl2004, author = {Helmes, Kurt and R{\"o}hl, Stefan}, title = {A Geometrical Characterization of the Multidimensional Hausdorff and Dale Polytopes with Applications to Exit Time Problems}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-7807}, number = {04-05}, year = {2004}, abstract = {We present formulae for the corner points of the multidimensional Hausdorff and Dale Polytopes and show how these results can be used to improve linear programming models for computing e.\,g.\ moments of exit distribution of diffusion processes. Specifically, we compute the mean exit time of twodimensional Brownian motion from the unit square and the unit triangle, as well as higher moments of the exit time of time space Brownian motion from a triangle.}, language = {en} }