Benjamin Van Roy
Professor of Electrical Engineering, of Management Science and Engineering and, by courtesy, of Computer Science
Bio
Benjamin Van Roy is broadly interested in the formulation and analysis of mathematical models that address problems in information technology, business, and public policy. He is an Associate Professor of Management Science and Engineering, Electrical Engineering, and, by courtesy, Computer Science, at Stanford University. He has held visiting positions as the Wolfgang and Helga Gaul Visiting Professor at the University of Karlsruhe and as the Chin Sophonpanich Foundation Professor of Banking and Finance at Chulalongkorn University. He has been involved with several technology companies as a researcher, advisor, founder, or director.
Academic Appointments
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Professor, Electrical Engineering
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Professor, Management Science and Engineering
Professional Education
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BS, Massachusetts Institute of Technology, Computer Science and Engineering (1993)
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MS, Massachusetts Institute of Technology, Electrical Engineering and Computer Science (1995)
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PhD, Massachusetts Institute of Technology, Electrical Engineering and Computer Science (1998)
2015-16 Courses
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Independent Studies (27)
- Advanced Reading and Research
CS 499 (Aut, Win, Spr, Sum) - Advanced Reading and Research
CS 499P (Aut, Win, Spr, Sum) - Computer Laboratory
CS 393 (Aut, Win, Spr, Sum) - Curricular Practical Training
CS 390A (Aut, Win, Spr, Sum) - Curricular Practical Training
CS 390B (Aut, Win, Spr, Sum) - Curricular Practical Training
CS 390C (Aut, Win, Spr, Sum) - Directed Reading and Research
MS&E 408 (Aut, Win, Spr, Sum) - Independent Database Project
CS 395 (Aut, Win, Spr, Sum) - Independent Project
CS 399 (Aut, Win, Spr, Sum) - Independent Project
CS 399P (Aut, Win, Spr, Sum) - Independent Work
CS 199 (Aut, Win, Spr, Sum) - Independent Work
CS 199P (Aut, Win, Spr, Sum) - Master's Thesis and Thesis Research
EE 300 (Aut, Win, Spr, Sum) - Part-Time CPT
CS 390S (Aut) - Part-Time CPT
CS 390T (Win) - Part-Time Curricular Practical Training
CS 390Q (Spr) - Part-time Curricular Practical Training
CS 390P (Win, Spr) - Ph.D. Qualifying Tutorial or Paper
MS&E 300 (Aut, Win, Spr, Sum) - Programming Service Project
CS 192 (Aut, Win, Spr, Sum) - Senior Project
CS 191 (Aut, Win, Spr, Sum) - Special Studies and Reports in Electrical Engineering
EE 191 (Aut, Win, Spr) - Special Studies and Reports in Electrical Engineering
EE 391 (Aut, Win, Spr, Sum) - Special Studies and Reports in Electrical Engineering (WIM)
EE 191W (Aut, Win, Spr) - Special Studies or Projects in Electrical Engineering
EE 190 (Aut, Win, Spr) - Special Studies or Projects in Electrical Engineering
EE 390 (Aut, Win, Spr, Sum) - Undergraduate Directed Study
MS&E 101 (Aut, Win, Spr, Sum) - Writing Intensive Senior Project (WIM)
CS 191W (Aut, Win, Spr)
- Advanced Reading and Research
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Prior Year Courses
2014-15 Courses
- Advanced Topics in Information Science and Technology
MS&E 338 (Win) - Dynamic Programming and Stochastic Control
MS&E 351 (Aut)
2012-13 Courses
- Advanced Topics in Information Science and Technology
MS&E 338 (Win) - Dynamic Programming and Stochastic Control
MS&E 351 (Aut)
- Advanced Topics in Information Science and Technology
All Publications
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Learning to Optimize via Posterior Sampling
MATHEMATICS OF OPERATIONS RESEARCH
2014; 39 (4): 1221-1243
View details for DOI 10.1287/moor.2014.0650
View details for Web of Science ID 000346130400012
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Directed Principal Component Analysis
OPERATIONS RESEARCH
2014; 62 (4): 957-972
View details for DOI 10.1287/opre.2014.1290
View details for Web of Science ID 000343248400016
- Learning to Optimize Via Posterior Sampling.
- Reputation Markets
- Directed Principal Component Analysis.
- Adaptive Execution: Exploration and Learning of Price Impact.
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Learning a factor model via regularized PCA
MACHINE LEARNING
2013; 91 (3): 279-303
View details for DOI 10.1007/s10994-013-5345-8
View details for Web of Science ID 000319466900001
- Eluder Dimension and the Sample Complexity of Optimistic Exploration to appear in NIPS. 2013
- Efficient Exploration and Value Function Generalization in Deterministic Systems abridged version to appear in NIPS. 2013
- (More) Efficient Reinforcement Learning via Posterior Sampling to appear in NIPS. 2013
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Strategic execution in the presence of an uninformed arbitrageur
JOURNAL OF FINANCIAL MARKETS
2012; 15 (4): 361-391
View details for DOI 10.1016/j.finmar.2011.11.002
View details for Web of Science ID 000307610500001
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Intermediated Blind Portfolio Auctions
MANAGEMENT SCIENCE
2012; 58 (9): 1747-1760
View details for DOI 10.1287/mnsc.1120.1521
View details for Web of Science ID 000308803100010
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Portfolio selection with qualitative input
JOURNAL OF BANKING & FINANCE
2012; 36 (2): 489-496
View details for DOI 10.1016/j.jbankfin.2011.08.005
View details for Web of Science ID 000300592600014
- Efficient Reinforcement Learning for High Dimensional Linear Systems Advances in Neural Information Processing Systems 25 MIT Press. 2012
- Approximate Dynamic Programming for Optimizing Oil Production Chapter 25 in Reinforcement Learning and Approximate Dynamic Programming for Feedback Control edited by Lewis, F., L., Liu, D. Wiley-IEEE Press. 2012
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Industry dynamics: Foundations for models with an infinite number of firms
JOURNAL OF ECONOMIC THEORY
2011; 146 (5): 1965-1994
View details for DOI 10.1016/j.jet.2011.05.007
View details for Web of Science ID 000295755400009
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Resource Allocation via Message Passing
INFORMS JOURNAL ON COMPUTING
2011; 23 (2): 205-219
View details for DOI 10.1287/ijoc.1100.0395
View details for Web of Science ID 000290248600004
- Control of Diffusions via Linear Programming in Stochastic Programming: The State of the Art, in Honor of George B. Dantzig Springer. 2011: 329-354
- Use of Approximate Dynamic Programming for Production Optimization 2011
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Manipulation Robustness of Collaborative Filtering
MANAGEMENT SCIENCE
2010; 56 (11): 1911-1929
View details for DOI 10.1287/mnsc.1100.1232
View details for Web of Science ID 000284151200003
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Investment and Market Structure in Industries with Congestion
OPERATIONS RESEARCH
2010; 58 (5): 1303-1317
View details for DOI 10.1287/opre.1100.0827
View details for Web of Science ID 000283244800003
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On Regression-Based Stopping Times
DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS
2010; 20 (3): 307-324
View details for DOI 10.1007/s10626-009-0062-y
View details for Web of Science ID 000278179400001
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Computational Methods for Oblivious Equilibrium
OPERATIONS RESEARCH
2010; 58 (4): 1247-1265
View details for DOI 10.1287/opre.1090.0790
View details for Web of Science ID 000280789200017
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Universal Reinforcement Learning
IEEE TRANSACTIONS ON INFORMATION THEORY
2010; 56 (5): 2441-2454
View details for DOI 10.1109/TIT.2010.2043762
View details for Web of Science ID 000278067900026
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Convergence of Min-Sum Message-Passing for Convex Optimization
IEEE TRANSACTIONS ON INFORMATION THEORY
2010; 56 (4): 2041-2050
View details for DOI 10.1109/TIT.2010.2040863
View details for Web of Science ID 000275999500043
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Dynamic Pricing with a Prior on Market Response
OPERATIONS RESEARCH
2010; 58 (1): 16-29
View details for DOI 10.1287/opre.1090.0729
View details for Web of Science ID 000274433100002
- Convergence of the Min-Sum Algorithm for Convex Optimization IEEE Transactions on Information Theory 2010; 56 (4): 2041-2050
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Convergence of Min-Sum Message Passing for Quadratic Optimization
IEEE TRANSACTIONS ON INFORMATION THEORY
2009; 55 (5): 2413-2423
View details for DOI 10.1109/TIT.2009.2016055
View details for Web of Science ID 000265713000036
- Manipulation-Resistant Collaborative Filtering Systems 2009
- Directed Regression Advances in Neural Information Processing Systems 22 MIT Press. 2009: 889-897
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Markov Perfect Industry Dynamics With Many Firms
ECONOMETRICA
2008; 76 (6): 1375-1411
View details for DOI 10.3982/ECTA6158
View details for Web of Science ID 000261055400005
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Capacity of the trapdoor channel with feedback
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC. 2008: 3150-3165
View details for DOI 10.1109/TIT.2008.924681
View details for Web of Science ID 000257111500021
- Approximate and Data-Driven Dynamic Programming for Queueing Networks 2008
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A short proof of optimality for the MIN cache replacement algorithm
INFORMATION PROCESSING LETTERS
2007; 102 (2-3): 72-73
View details for DOI 10.1016/j.ipl.2006.11.009
View details for Web of Science ID 000244994100006
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Managing the quality of a resource with stock and flow controls
JOURNAL OF PUBLIC ECONOMICS
2007; 91 (3-4): 541-569
View details for DOI 10.1016/j.jpubeco.2006.06.003
View details for Web of Science ID 000244989300007
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Capacity and zero-error capacity of the chemical channel with feedback
2007 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY PROCEEDINGS, VOLS 1-7
2007: 1866-1870
View details for Web of Science ID 000257010202035
- An Approximate Dynamic Programming Approach to Network Revenue Management 2007
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Consensus propagation
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC. 2006: 4753-4766
View details for DOI 10.1109/TIT.2006.883539
View details for Web of Science ID 000241805700001
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A cost-shaping linear program for average-cost approximate dynamic programming with performance guarantees
MATHEMATICS OF OPERATIONS RESEARCH
2006; 31 (3): 597-620
View details for DOI 10.1287/moor.1060.0208
View details for Web of Science ID 000240245200010
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Performance loss bounds for approximate value iteration with state aggregation
MATHEMATICS OF OPERATIONS RESEARCH
2006; 31 (2): 234-244
View details for DOI 10.1287/moor.1060.0188
View details for Web of Science ID 000244423300002
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A generalized Kalman filter for fixed point approximation and efficient temporal-difference learning
DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS
2006; 16 (2): 207-239
View details for DOI 10.1007/s10626-006-8134-8
View details for Web of Science ID 000237701200002
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Approximation algorithms for dynamic resource allocation
OPERATIONS RESEARCH LETTERS
2006; 34 (2): 180-190
View details for DOI 10.1016/j.orl.2005.02.006
View details for Web of Science ID 000234783800009
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A nonparametric approach to multiproduct pricing
OPERATIONS RESEARCH
2006; 54 (1): 82-98
View details for DOI 10.1287/opre.1050.0252
View details for Web of Science ID 000235596200008
- Tetris: A Study of Randomized Constraint Sampling in Probabilistic and Randomized Methods for Design Under Uncertainty edited by Calafiore, G., Dabbene, F. Springer-Verlag. 2006
- Opportunities and Challenges in Using Online Preference Data for Vehicle Pricing: A Case Study at General Motors Journal of Revenue and Pricing Management 2006; 5 (1): 45-61
- TD(0) Leads to Better Policies than Approximate Value Iteration Advances in Neural Information Processing Systems 18 MIT Press. 2006
- Consensus Propagation Advances in Neural Information Processing Systems 18 MIT Press. 2006
- Oblivious Equilibrium: A Mean Field Approximation for Large Scale Dynamic Games Advances in Neural Information Processing Systems 18 2006
- A Non-Parametric Approach to Multi-Product Pricing Operations Research 2006; 54 (1): 82-98
- A Generalized Kalman Filter for Fixed Point Approximation and Efficient Temporal-Difference Learning Discrete Event Dynamic Systems 2006; 16 (2)
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An approximate dynamic programming approach to decentralized control of stochastic systems
CONTROL OF UNCERTAIN SYSTEMS: MODELLING, APPROXIMATION, AND DESIGN
2006; 329: 243-256
View details for Web of Science ID 000236901900013
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A universal scheme for learning
2005 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT), VOLS 1 AND 2
2005: 1158-1162
View details for Web of Science ID 000234713800244
- Solitaire: Man Versus Machine Advances in Neural Information Processing Systems 17 MIT Press. 2005
- A Linear Program for Bellman Error Minimization with Performance Guarantees Advances in Neural Information Processing Systems 17 MIT Press. 2005
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On constraint sampling in the linear programming approach to approximate dynamic programming
MATHEMATICS OF OPERATIONS RESEARCH
2004; 29 (3): 462-478
View details for Web of Science ID 000224311900003
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Making eigenvector-based reputation systems robust to collusion
ALGORITHMS AND MODELS FOR THE WEB-GRAPHS, PROCEEDINGS
2004; 3243: 92-104
View details for Web of Science ID 000224583300008
- Approximate Dynamic Programming for High-Dimensional Dynamic Resource Allocation Problems in Handbook of Learning and Approximate Dynamic Programming edited by Si, J., Barto, A., G., Powell, W., B. Wiley-IEEE Press, Hoboken, NJ. 2004: 261-279
- An Approximate Dynamic Programming Approach to Decentralized Control of Stochastic Systems 2004
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Distributed optimization in adaptive networks
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 16
2004; 16: 887-894
View details for Web of Science ID 000225309500111
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The linear programming approach to approximate dynamic programming
OPERATIONS RESEARCH
2003; 51 (6): 850-865
View details for Web of Science ID 000187176800002
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Decentralized decision-making in a large team with local information
GAMES AND ECONOMIC BEHAVIOR
2003; 43 (2): 266-295
View details for DOI 10.1016/S0899-8256(03)00006-X
View details for Web of Science ID 000182880300006
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On constraint sampling in the linear programming approach to approximate linear programming
42ND IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-6, PROCEEDINGS
2003: 2441-2446
View details for Web of Science ID 000189434100420
- Decentralized Protocols for Optimization of Sensor Networks 2003
- Approximate Linear Programming for Average-Cost Dynamic Programming Advances in Neural Information Processing Systems 15 MIT Press. 2003
- Improving Eigenvector-Based Reputation Systems Against Collusion Workshop on Algorithms and Models for the Web Graph 2003
- Book Review: Self-Learning Control of Finite Markov Chains, by A. S. Poznyak, K. Najim, and E. Gomez-Ramirez Automatica 2003; 39 (2): 373-376
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On average versus discounted reward temporal-difference learning
MACHINE LEARNING
2002; 49 (2-3): 179-191
View details for Web of Science ID 000173841100005
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Approximate dynamic programming via linear programming
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 14, VOLS 1 AND 2
2002; 14: 689-695
View details for Web of Science ID 000180520100086
- Algorithms for GPS Operation Indoors and Downtown GPS Solutions 2002; 6 (3): 149-160
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Regression methods for pricing complex American-Style options
IEEE TRANSACTIONS ON NEURAL NETWORKS
2001; 12 (4): 694-703
Abstract
We introduce and analyze a simulation-based approximate dynamic programming method for pricing complex American-style options, with a possibly high-dimensional underlying state space. We work within a finitely parameterized family of approximate value functions, and introduce a variant of value iteration, adapted to this parametric setting. We also introduce a related method which uses a single (parameterized) value function, which is a function of the time-state pair, as opposed to using a separate (independently parameterized) value function for each time. Our methods involve the evaluation of value functions at a finite set, consisting of "representative" elements of the state space. We show that with an arbitrary choice of this set, the approximation error can grow exponentially with the time horizon (time to expiration). On the other hand, if representative states are chosen by simulating the state process using the underlying risk-neutral probability distribution, then the approximation error remains bounded.
View details for Web of Science ID 000169875300005
View details for PubMedID 18249905
- An Analysis of Belief Propagation on the Turbo Decoding Graph with Gaussian Densities IEEE Transactions on Information Theory 2001; 47 (2): 745-765
- Neuro-Dynamic Programming: Overview and Recent Trends in Handbook of Markov Decision Processes: Methods and Applications edited by Feinberg, E., Shwartz, A. Kluwer. 2001
- A Generalized Kalman Filter for Fixed Point Approximation and Efficient Temporal-Difference Learning 2001
- A Tractable POMDP for a Class of Sequencing Problems 2001
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On the existence of fixed points for approximate value iteration and temporal-difference learning
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
2000; 105 (3): 589-608
View details for Web of Science ID 000088793400007
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The optimal harvesting of environmental bads
PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5
2000: 234-239
View details for Web of Science ID 000172029000044
- Fixed Points for Approximate Value Iteration and Temporal-Difference Learning 2000
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Approximate value iteration with randomized policies
PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5
2000: 3421-3426
View details for Web of Science ID 000172029000618
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Temporal-difference learning and applications in finance
COMPUTATIONAL FINANCE 1999
2000: 447-461
View details for Web of Science ID 000088555700029
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Approximate value iteration and temporal-difference learning
IEEE 2000 ADAPTIVE SYSTEMS FOR SIGNAL PROCESSING, COMMUNICATIONS, AND CONTROL SYMPOSIUM - PROCEEDINGS
2000: 48-51
View details for Web of Science ID 000165737500009
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An analysis of turbo decoding with Gaussian densities
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 12
2000; 12: 575-581
View details for Web of Science ID 000165048700082
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Average cost temporal-difference learning
AUTOMATICA
1999; 35 (11): 1799-1808
View details for Web of Science ID 000082939400004
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Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
1999; 44 (10): 1840-1851
View details for Web of Science ID 000083045600004
- Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, and an Application to Pricing High-Dimensional Financial Derivatives IEEE Transactions on Automatic Control 1999; 44 (10): 1840-1851
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An analysis of temporal-difference learning with function approximation
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
1997; 42 (5): 674-690
View details for Web of Science ID A1997WX54900006
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Neuro-dynamic programming overview and a case study in optimal stopping
PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5
1997: 1181-1186
View details for Web of Science ID 000072164400233
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A neuro-dynamic programming approach to retailer inventory management
PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5
1997: 4052-4057
View details for Web of Science ID 000072164400794
- Overview of Neuro-Dynamic Programming and a Case Study in Optimal Stopping 1997
- A Neuro-Dynamic Programming Approach to Retailer Inventory Management 1997
- Solving Data Mining Problems Through Pattern Recognition Prentice-Hall 1997
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Analysis of temporal-difference learning with function approximation
M I T PRESS. 1997: 1075-1081
View details for Web of Science ID A1997BH93C00151
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Average cost temporal-difference learning
PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5
1997: 498-502
View details for Web of Science ID 000072164400097
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Approximate solutions to optimal stopping problems
M I T PRESS. 1997: 1082-1088
View details for Web of Science ID A1997BH93C00152
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Feature-based methods for large scale dynamic programming
MACHINE LEARNING
1996; 22 (1-3): 59-94
View details for Web of Science ID A1996UA77500005
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Stable linear approximations to dynamic programming for stochastic control problems with local transitions
M I T PRESS. 1996: 1045-1051
View details for Web of Science ID A1996BG45M00147
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Feature-based methods for large scale dynamic programming
IEEE. 1995: 565-567
View details for Web of Science ID A1995BE66Q00112
- Solving Pattern Recognition Problems Unica 1995