Approximation Schemes for Infinite Linear Programs

DOI10.1137/S1052623497315768zbMATH Open0912.90219OpenAlexW2105260964MaRDI QIDQ4229458FDOQ4229458

Authors: Onésimo Hernández-Lerma, Jean B. Lasserre 

Publication date: 22 February 1999

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

Full work available at URL: https://doi.org/10.1137/s1052623497315768

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zbMATH Keywords

infinite-dimensional linear programminginner approximationsaggregation-relaxation (of constraints)

Mathematics Subject Classification ID

Linear programming (90C05) Programming in abstract spaces (90C48)

Cited In (34)

• Approximations of Countably Infinite Linear Programs over Bounded Measure Spaces
• Some remarks on the infinite-dimensional problems of linear programming
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• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• Linear programming approach to the optimal stopping of singular stochastic processes
• Infinite horizon programs; convergence of approximate solutions
• A semidefinite programming approach to the generalized problem of moments
• A separation principle for partially observed control of singular stochastic processes
• Duality in Countably Infinite Monotropic Programs
• On the consistency of the mass transfer problem
• Optimization and approximation for polyhedra in separable Hilbert spaces
• Finite dimensional approximation in infinite dimensional mathematical programming
• Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
• Some properties on quadratic infinite programs of integral type
• Dynamic costs and moral hazard: a duality-based approach
• An approximation scheme for the Kantorovich-Rubinstein problem on compact spaces
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• Multiresolution analysis applied to the Monge-Kantorovich problem
• Successive Linear Approximation Solution of Infinite-Horizon Dynamic Stochastic Programs
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• Approximate solutions to H2 / H problems via sequences of H2-cost/ H2-constraint optimization problems
• Nonlinear optimal control: a numerical scheme based on occupation measures and interval analysis
• A convex analytic approach to risk-aware Markov decision processes
• The Lagrange approach to infinite linear programs
• Infinite linear programming
• A metaheuristic for a numerical approximation to the mass transfer problem
• Dual Ascent and Primal-Dual Algorithms for Infinite-Horizon Nonstationary Markov Decision Processes
• Solving the drift control problem
• Constrained Markov control processes with randomized discounted cost criteria: infinite linear programming approach
• From infinite to finite programs: explicit error bounds with applications to approximate dynamic programming
• Dynamic mechanism design with hidden income and hidden actions

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