Epi-Consistent Approximation of Stochastic Dynamic Programs

Abstract: We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilising results on the epi-convergence of expectation functions with varying measures and integrands, and the Attouch-Wets distance, we show that appropriate equi-semicontinuity assumptions assure epi-consistency. A number of examples illustrate the approach. In particular, we permit both unbounded and simultaneously-approximated stage-cost functions, and treat an example with approximated constraints.