We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
A GENERALIZED DISCRETE DYNAMIC PROGRAMMING MODEL.
- Authors
Grinold, Richard C.
- Abstract
This paper considers a stationary discrete dynamic programming model that is a generalization of the finite state and finite action Markov programming problem. We specify conditions under which an optimal stationary linear decision rule exists and show how this optimal policy can be calculated using linear programming, policy iteration, or value iteration. In addition we allow the parameters of the problem to be random variables and indicate when the expected values or these random variables are certainty equivalents.
- Subjects
DYNAMIC programming; MARKOV processes; NONLINEAR programming; MATHEMATICAL programming; CLUSTER analysis (Statistics); SYSTEMS engineering; MATHEMATICAL models; MANAGEMENT science; DECISION making; LINEAR programming; RANDOM variables
- Publication
Management Science, 1974, Vol 20, Issue 7, p1092
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.20.7.1092