L-SHAPED LINEAR PROGRAMS WITH APPLICATIONS TO OPTIMAL CONTROL AND STOCHASTIC PROGRAMMING.

Abstract

This paper gives an algorithm for L-shaped linear programs which arise naturally in optimal control problems with state constraints and stochastic linear programs (which can be represented in this form with an infinite number of linear constraints). The first section describes a cutting hyperplane algorithm which is shown to be equivalent to a partial decomposition algorithm of the dual program. The two last sections are devoted to applications of the cutting hyperplane algorithm to a linear optimal control problem and stochastic programming problems. (Author)

Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1966
Accession Number
AD0636040

Entities

People

  • R. M. Van Slyke
  • Roger J-B Wets

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Algorithms
  • California
  • Computer Programming
  • Cooperation
  • Decomposition
  • Evolutionary Algorithms
  • Heuristic Methods
  • Linear Programming
  • Mathematics
  • Simplex Method

Readers

  • Operations Research