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Rollout algorithms for combinatorial optimization. (English) Zbl 1071.90571

Summary: 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.

MSC:

90C59 Approximation methods and heuristics in mathematical programming
90C39 Dynamic programming
90B25 Reliability, availability, maintenance, inspection in operations research
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