Fully Polynomial Time Approximation Schemes for Stochastic Dynamic Programs

Fully Polynomial Time Approximation Schemes for Stochastic Dynamic Programs

We present a framework for obtaining fully polynomial time approximation schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. This framework is developed through the establishment of two sets of computational rules, namely, the calc...

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Bibliographic Details
Main Authors: Halman, Nir (Author), Klabjan, Diego (Author), Li, Chung-Lun (Author), Orlin, James B (Contributor), Simchi-Levi, David (Contributor)
Other Authors: Massachusetts Institute of Technology. Department of Civil and Environmental Engineering (Contributor), Massachusetts Institute of Technology. Institute for Data, Systems, and Society (Contributor), Sloan School of Management (Contributor)
Format: Article
Language:English
Published: Society for Industrial and Applied Mathematics, 2017-05-17T13:53:29Z.
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