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Rollout Algorithms for Combinatorial Optimization

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Abstract

We consider the approximate solution of discrete optimization problems using procedures that are capable of magnifying the effectiveness of any given heuristic algorithm through sequential application. In particular, we embed the problem within a dynamic programming framework, and we introduce several types of rollout algorithms, which are related to notions of policy iteration. We provide conditions guaranteeing that the rollout algorithm improves the performance of the original heuristic algorithm. The method is illustrated in the context of a machine maintenance and repair problem.

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Authors and Affiliations

  1. Department of Electrical Engineering and Computer Science, M.I.T., Cambridge, MA, 02139

    Dimitri P. Bertsekas, John N. Tsitsiklis & Cynara Wu

Authors
  1. Dimitri P. Bertsekas
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  2. John N. Tsitsiklis
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  3. Cynara Wu
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Bertsekas, D.P., Tsitsiklis, J.N. & Wu, C. Rollout Algorithms for Combinatorial Optimization. Journal of Heuristics 3, 245–262 (1997). https://doi.org/10.1023/A:1009635226865

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  • DOI: https://doi.org/10.1023/A:1009635226865

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