Rollout Algorithms for Constrained Dynamic Programming 1

The rollout algorithm is a suboptimal control method for deterministic and stochastic problems that can be solved by dynamic programming. In this short note, we derive an extension of the rollout algorithm that applies to constrained deterministic dynamic programming problems, and relies on a suboptimal policy, called base heuristic. Under suitable assumptions, we show that if the base heuristic produces a feasible solution, the rollout algorithm also produces a feasible solution, whose cost is no worse than the cost corresponding to the base heuristic.

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