Successive Linear Approximation Solution of Infinite-Horizon Dynamic Stochastic Programs

DOI10.1137/060665506zbMATH Open1207.65076OpenAlexW2069367450MaRDI QIDQ3544256FDOQ3544256

Authors: John R. Birge, Gongyun Zhao 

Publication date: 5 December 2008

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3ea16cbb4b4dab07abc705f633314bdfb521a248

Recommendations

• scientific article; zbMATH DE number 3961349
• Infinite horizon programs; convergence of approximate solutions
• A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
• Infinite Horizon Stochastic Programs
• Approximation Schemes for Infinite Linear Programs

zbMATH Keywords

dynamic programmingcutting planesstochastic programminglinear approximationinfinite horizon

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Stochastic programming (90C15)

Cited In (8)

• Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality
• Stabilizing policy improvement for large-scale infinite-horizon dynamic programming
• An Approximation Approach for Response-Adaptive Clinical Trial Design
• Successive Linearization NMPC for a Class of Stochastic Nonlinear Systems
• Title not available (Why is that?)
• Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
• A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
• Optimizational methods of successive approximations in Markov processes of solutions

This page was built for publication: Successive Linear Approximation Solution of Infinite-Horizon Dynamic Stochastic Programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3544256)