Rollout algorithms for stochastic scheduling problems

Dimitri P. Bertsekas, David A. Castañon

Research output: Contribution to journalArticlepeer-review

197 Scopus citations

Abstract

Stochastic scheduling problems are difficult stochastic control problems with combinatorial decision spaces. In this paper we focus on a class of stochastic scheduling problems, the quiz problem and its variations. We discuss the use of heuristics for their solution, and we propose rollout algorithms based on these heuristics which approximate the stochastic dynamic programming algorithm. We show how the rollout algorithms can be implemented efficiently, with considerable savings in computation over optimal algorithms. We delineate circumstances under which the rollout algorithms are guaranteed to perform better than the heuristics on which they are based. We also show computational results which suggest that the performance of the rollout policies is near-optimal, and is substantially better than the performance of their underlying heuristics.

Original languageEnglish (US)
Pages (from-to)89-108
Number of pages20
JournalJournal of Heuristics
Volume5
Issue number1
DOIs
StatePublished - 1999
Externally publishedYes

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Networks and Communications
  • Control and Optimization
  • Management Science and Operations Research
  • Artificial Intelligence

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