Transforming Stochastic Dynamic Programming Problems into Nonlinear Programs

DOI10.1287/MNSC.17.7.450MaRDI QIDQ5629439zbMATH OpenOpenAlexFDO

Authors William T. Ziemba

Publication date 1971

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.17.7.450

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear programming (90C30)

Cited in

(5)

• On a class of dynamic programming problems whose optimal controls and states are independent of the future
• Optimal scheduling of income tax prepayments under stochastic incomes
• Bounds on the value of information in uncertain decision problems II
• Bounds on the value of information in uncertain decision problems
• On decision rules in stochastic programming

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