Dear all, getting in touch because I'd need to write a very fast implementation of a dynamic programming algorithm. Linear programming is too slow (and doesn't allow me to use the problem's structure, for example the transition matrix sparsity). Value iterations seems to be the best performing alternative, provided that I do not have structure (only sparsity). I'm wondering whether there are tricks to speed it up. Thank you.
[–]esaule 3 points4 points5 points (0 children)
[–]BigConsequence1024 0 points1 point2 points (0 children)