Successive linear approximation solution of infinite-horizon dynamic stochastic programs

SIAM Journal on Optimization

Volumn 18, Issue 4, 2007, Pages 1165-1186

  Birge, John R ^a   Zhao, Gongyun ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Cutting planes; Dynamic programming; Infinite horizon; Linear approximation; Stochastic programming

Indexed keywords

CONVEX OBJECTIVES; CUTTING PLANES; INFINITE HORIZON; LINEAR APPROXIMATION; LINEAR APPROXIMATION METHODS; LINEAR APPROXIMATIONS; LINEAR DYNAMICS; OPTIMAL VALUE FUNCTIONS; VALUE FUNCTIONS;

APPROXIMATION THEORY; POLYNOMIAL APPROXIMATION; PROBABILITY DENSITY FUNCTION; STOCHASTIC MODELS; STOCHASTIC PROGRAMMING; SYSTEMS ENGINEERING;

LINEAR PROGRAMMING;

EID: 56749153647     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/060665506     Document Type: Article

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