Skip to content

Commit 778bb6c

Browse files
author
trigaut
committed
[UPD] update value function computation doc
1 parent fdd9254 commit 778bb6c

File tree

1 file changed

+12
-8
lines changed

1 file changed

+12
-8
lines changed

src/SDPoptimize.jl

Lines changed: 12 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -108,12 +108,13 @@ end
108108

109109

110110
"""
111-
Value iteration algorithm to compute optimal value functions in
112-
the Decision Hazard (DH) as well as the Hazard Decision (HD) case
111+
Dynamic programming algorithm to compute optimal value functions
112+
by backward induction using bellman equation in the finite horizon case.
113+
The information structure can be Decision Hazard (DH) or Hazard Decision (HD)
113114
114115
Parameters:
115116
- model (SPmodel)
116-
the DPSPmodel of our problem
117+
the model of our problem
117118
118119
- param (SDPparameters)
119120
the parameters for the SDP algorithm
@@ -141,14 +142,16 @@ function solve_DP(model::SPModel,
141142
end
142143

143144
"""
144-
Compute the value function at time t
145+
Compute the value function at time t using bellman equation
146+
and knowing value function at time t+1
145147
146148
Parameters:
147149
- sampling size (Int)
148-
number of randomness samples
150+
number of noises samples (number of outcomes if the probability laws are discrete,
151+
number of monte carlo samples otherwise)
149152
150153
- samples (Array{Float64})
151-
list of random samples
154+
arrays of the noises samples/realizations
152155
153156
- probas (Array{Float64})
154157
array of probabilities of samples
@@ -160,7 +163,7 @@ Parameters:
160163
array of lower and upper bounds of states
161164
162165
- x_steps (Array{Float64})
163-
array discretization steps for states space
166+
array of discretization steps for states space
164167
165168
- x_dim (Int)
166169
number of state variables
@@ -190,7 +193,8 @@ Parameters:
190193
the time step
191194
192195
- info_struc (String)
193-
the information structure "HD" or "DH"
196+
the information structure "HD" for hazard-decision
197+
or "DH" for decision-hazard
194198
195199
"""
196200
function compute_V_given_t(sampling_size, samples, probas, u_bounds, x_bounds,

0 commit comments

Comments
 (0)