Approximating closed form solutions to converging branch dynamic programming problems (Q1091283)

A method for obtaining closed form approximate solutions to converging branch dynamic programming problems with quadratic returns and linear transitions is proposed. The authors utilize a piecewise linear approximation to the nonlinear terms in the return function at the converging branch stage. This results in a multiple segment return function which is separable in the input flows. This fact makes it possible to obtain closed form solutions to the resulting problems. The method, which is suggested in the paper, facilitates the computarization of this class of converging branch problems.