Information Relaxations, Duality, and Convex Stochastic Dynamic Programs

DOI10.1287/OPRE.2014.1322MaRDI QIDQ2941432zbMATH OpenOpenAlexFDO

Authors David B. Brown, James E. Smith

Publication date 28 August 2015

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2014.1322

zbMATH Keywords

dynamic programmingnetwork revenue managementinformation relaxationslost-sales inventory models

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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Cited in

(17)

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• Dynamic portfolio execution and information relaxations
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• Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality
• Technical note -- Product-based approximate linear programs for network revenue management
• Approximations to stochastic dynamic programs via information relaxation duality
• Dynamic learning and decision making via basis weight vectors
• Merchant commodity storage practice revisited
• Technical Note—On the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs
• Numerical solutions to dynamic portfolio problems with upper bounds
• Information Relaxation and Dual Formulation of Controlled Markov Diffusions
• Information relaxation bounds for infinite horizon Markov decision processes
• Simple explicit formula for near-optimal stochastic lifestyling
• Optimistic Monte Carlo tree search with sampled information relaxation dual bounds
• A subgradient method based on gradient sampling for solving convex optimization problems
• An approximation algorithm for network revenue management under nonstationary arrivals
• Information relaxations and duality in stochastic dynamic programs

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