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arXiv · 2501.19028

Epi-Consistent Approximation of Stochastic Dynamic Programs

Dominic S. T. Keehan·Johannes O. Royset
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Abstract

We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilizing results on the epi-convergence of expectation functions with varying measures and integrands, and the Attouch--Wets distance, we show that appropriate equi-semicontinuity assumptions assure epi-consistency. A number of examples illustrate the approach. In particular, we permit both unbounded and simultaneously approximated stage-cost functions, and treat an example with approximated constraints.

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Dominic S. T. Keehan, Johannes O. Royset. 2025-01-31. Epi-Consistent Approximation of Stochastic Dynamic Programs. https://arxiv.org/abs/2501.19028

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