A New Approach to Multi-Stage Stochastic Linear Programs

Abstract

This paper considers an infinite stage linear decision problem with random coefficients. It is assumed that the randomness can be defined by a finite Markov chain. Under certain assumptions the author is able to calculate an upper bound to an optimal value of the decision problem and to use that bound to determine a useful initial decision.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1974
Accession Number
ADA001102

Entities

People

  • Richard C. Grinold

Organizations

  • University of California, Berkeley

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Abstracts
  • California
  • Commerce
  • Contracts
  • Governments
  • Linear Programming
  • Markov Chains
  • Markov Processes
  • Mathematical Programming
  • Military Research
  • Operations Research
  • Optimization
  • Probability
  • Random Variables
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.