Fixed-dimensional stochastic dynamic programs: an approximation scheme and an inventory application

DOI10.1287/OPRE.2013.1239MaRDI QIDQ5166300zbMATH OpenOpenAlexFDO

Authors Wei Chen, Ganesh Janakiraman, Milind Dawande

Publication date 26 June 2014

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e4ceed69fbfe82152042d8433d33922f14a5aa8f

zbMATH Keywords

approximation algorithmsdiscrete convexitymultidimensional stochastic dynamic programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Approximation methods and heuristics in mathematical programming (90C59)

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(12)

• Approximating convex functions via non-convex oracles under the relative noise model
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• Dynamic programming on the probabilistic inventory problems with multiple piecewise cost functions
• Optimality gap of constant-order policies decays exponentially in the lead time for lost sales models
• Asymptotic optimality of constant-order policies for lost sales inventory models with large lead times
• Toward breaking the curse of dimensionality: an FPTAS for stochastic dynamic programs with multidimensional actions and scalar states
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• Dynamic programming in inventory management: a review
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