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

Abstract

The 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.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1967
Accession Number
AD0656045

Entities

People

  • R. M. Van Slyke
  • Roger J. Wets

Organizations

  • University of California, Berkeley

Tags

Communities of Interest

  • Air Platforms
  • C4I
  • Human Systems

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Computer Programming
  • Computer Programs
  • Convex Programming
  • Equations
  • Evolutionary Algorithms
  • Linear Programming
  • Mathematical Programming
  • New Jersey
  • Observation
  • Operations Research
  • Probability
  • Random Variables
  • Sampling
  • Simplex Method
  • United States

Readers

  • Operations Research