{"id":8592,"date":"2021-05-14T08:23:41","date_gmt":"2021-05-14T06:23:41","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/"},"modified":"2021-05-14T08:23:41","modified_gmt":"2021-05-14T06:23:41","slug":"lunchseminar-in-economics-self-guided-approximate-linear-programs","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/","title":{"rendered":"Lunchseminar in Economics: Self-guided Approximate Linear Programs"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p><strong>Abstract<\/strong><\/p><p>Approximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower bounds on the optimal policy cost of Markov decision processes (MDPs). The ALP VFA is a linear combination of predefined basis functions that are chosen using domain knowledge and updated heuristically if the ALP optimality gap is large. We side-step the need for such basis function engineering in ALP &#8212; an implementation bottleneck &#8212; by proposing a sequence of ALPs that embed increasing numbers of random basis functions obtained via inexpensive sampling. We provide a sampling guarantee and show that the VFAs from this sequence of models converge to the exact value function. Nevertheless, the performance of the ALP policy can fluctuate significantly as more basis functions are sampled. To mitigate these fluctuations, we \u00ab\u00a0self-guide\u00a0\u00bb our convergent sequence of ALPs using past VFA information such that a worst-case measure of policy performance is improved. We perform numerical experiments on perishable inventory control and generalized joint replenishment applications, which, respectively, give rise to challenging discounted-cost MDPs and average-cost semi-MDPs. We find that self-guided ALPs (i) significantly reduce policy cost fluctuations and improve the optimality gaps from an ALP approach that employs basis functions tailored to the former application, and (ii) deliver optimality gaps that are comparable to a known adaptive basis function generation approach targeting the latter application. More broadly, our methodology provides application-agnostic policies and lower bounds to benchmark approaches that exploit application structure.<\/p><p><\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":8593,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2021-06-09 13:00:00","event_end_date":"2021-06-09 14:00:00","event_speaker_name":"Selvaprabu Nadarajah, University of Illinois at Chicago, USA ","event_speaker_link":"","event_is_online":false,"event_location":"ONLINE ACCESS","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[306],"events-type":[],"organisation":[138,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Lunchseminar in Economics: Self-guided Approximate Linear Programs - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Lunchseminar in Economics: Self-guided Approximate Linear Programs\" \/>\n<meta property=\"og:description\" content=\"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/\" \/>\n<meta property=\"og:site_name\" content=\"UNI FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/\",\"url\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/\",\"name\":\"Lunchseminar in Economics: Self-guided Approximate Linear Programs - Universit\u00e9 du Luxembourg\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg\",\"datePublished\":\"2021-05-14T06:23:41+00:00\",\"dateModified\":\"2021-05-14T06:23:41+00:00\",\"description\":\"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower\",\"breadcrumb\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#breadcrumb\"},\"inLanguage\":\"fr-FR\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/\"]}]},{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg\",\"width\":800,\"height\":600},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.uni.lu\/fr\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Events\",\"item\":\"https:\/\/www.uni.lu\/fr\/events\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Lunchseminar in Economics: Self-guided Approximate Linear Programs\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"name\":\"Uni.lu\",\"description\":\"Universit\u00e9 du Luxembourg\",\"publisher\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\"},\"alternateName\":\"Universit\u00e9 du Luxembourg\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.uni.lu\/fr\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"fr-FR\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\",\"name\":\"Universit\u00e9 du Luxembourg\",\"alternateName\":\"Uni.lu\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"width\":2560,\"height\":2560,\"caption\":\"Universit\u00e9 du Luxembourg\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/www.facebook.com\/uni.lu\",\"https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/\",\"https:\/\/www.instagram.com\/uni.lu\",\"https:\/\/www.youtube.com\/@uni_lu\",\"https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg\"]}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"Lunchseminar in Economics: Self-guided Approximate Linear Programs - Universit\u00e9 du Luxembourg","description":"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/","og_locale":"fr_FR","og_type":"article","og_title":"Lunchseminar in Economics: Self-guided Approximate Linear Programs","og_description":"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower","og_url":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/","og_site_name":"UNI FR","article_publisher":"https:\/\/www.facebook.com\/uni.lu","og_image":[{"width":2560,"height":2560,"url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","type":"image\/jpeg"}],"twitter_card":"summary_large_image","twitter_misc":{"Dur\u00e9e de lecture estim\u00e9e":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/","url":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/","name":"Lunchseminar in Economics: Self-guided Approximate Linear Programs - Universit\u00e9 du Luxembourg","isPartOf":{"@id":"https:\/\/www.uni.lu\/fr\/#website"},"primaryImageOfPage":{"@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage"},"thumbnailUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg","datePublished":"2021-05-14T06:23:41+00:00","dateModified":"2021-05-14T06:23:41+00:00","description":"AbstractApproximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain heuristic policies and lower","breadcrumb":{"@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#breadcrumb"},"inLanguage":"fr-FR","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/"]}]},{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#primaryimage","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2021\/05\/lunchseminar_in_economics_self_guided_approximate_linear_programs.jpg","width":800,"height":600},{"@type":"BreadcrumbList","@id":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-self-guided-approximate-linear-programs\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.uni.lu\/fr\/"},{"@type":"ListItem","position":2,"name":"Events","item":"https:\/\/www.uni.lu\/fr\/events\/"},{"@type":"ListItem","position":3,"name":"Lunchseminar in Economics: Self-guided Approximate Linear Programs"}]},{"@type":"WebSite","@id":"https:\/\/www.uni.lu\/fr\/#website","url":"https:\/\/www.uni.lu\/fr\/","name":"Uni.lu","description":"Universit\u00e9 du Luxembourg","publisher":{"@id":"https:\/\/www.uni.lu\/fr\/#organization"},"alternateName":"Universit\u00e9 du Luxembourg","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.uni.lu\/fr\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"fr-FR"},{"@type":"Organization","@id":"https:\/\/www.uni.lu\/fr\/#organization","name":"Universit\u00e9 du Luxembourg","alternateName":"Uni.lu","url":"https:\/\/www.uni.lu\/fr\/","logo":{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","width":2560,"height":2560,"caption":"Universit\u00e9 du Luxembourg"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/"},"sameAs":["https:\/\/www.facebook.com\/uni.lu","https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/","https:\/\/www.instagram.com\/uni.lu","https:\/\/www.youtube.com\/@uni_lu","https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg"]}]}},"_links":{"self":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/8592"}],"collection":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events"}],"about":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/types\/events"}],"replies":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/comments?post=8592"}],"version-history":[{"count":0,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/8592\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media\/8593"}],"wp:attachment":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media?parent=8592"}],"wp:term":[{"taxonomy":"events-topic","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-topic?post=8592"},{"taxonomy":"events-type","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-type?post=8592"},{"taxonomy":"organisation","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/organisation?post=8592"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}