Approximate dynamic programming for stochastic resource allocation problems

A stochastic resource allocation model, based on the principles of Markov decision processes &#x0028 MDPs &#x0029 , 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...

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Bibliographic Details
Published in:IEEE/CAA journal of automatica sinica 2020-07, Vol.7 (4), p.975-990
Main Authors: Forootani, Ali, Iervolino, Raffaele, Tipaldi, Massimo, Neilson, Joshua
Format: Article
Language:English
Subjects:
Algorithms
Decision making
Dynamic programming
Heuristic algorithms
Linear functions
Markov processes
Pricing
Resource allocation
Resource management
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Summary:A stochastic resource allocation model, based on the principles of Markov decision processes &#x0028 MDPs &#x0029 , 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 &#x0028 i.e., specified and unspecified time interval reservation requests &#x0029 , 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 &#x0028 DP &#x0029 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 &#x0028 ADP &#x0029 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.
ISSN:2329-9266
2329-9274
DOI:10.1109/JAS.2020.1003231