MIDAS: A Mixed Integer Dynamic Approximation Scheme

Andy Philpott 1 Faisal Wahid 1, 2 Frédéric Bonnans 2, 3
2 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, UMA - Unité de Mathématiques Appliquées
Abstract : Mixed Integer Dynamic Approximation Scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to an ε-optimal policy when the Bellman functions are known to be continuous, and the sampling process satisfies standard assumptions.
Document type :
Complete list of metadatas

Cited literature [11 references]  Display  Hide  Download

Contributor : J. Frederic Bonnans <>
Submitted on : Thursday, November 24, 2016 - 8:57:14 AM
Last modification on : Monday, September 30, 2019 - 10:46:02 AM
Long-term archiving on : Monday, March 20, 2017 - 4:42:23 PM


Files produced by the author(s)


  • HAL Id : hal-01401950, version 1


Andy Philpott, Faisal Wahid, Frédéric Bonnans. MIDAS: A Mixed Integer Dynamic Approximation Scheme. [Research Report] Inria Saclay Ile de France. 2016, pp.22. ⟨hal-01401950⟩



Record views


Files downloads