Successive Linear Approximation Solution of Infinite-Horizon Dynamic Stochastic Programs

DOI10.1137/060665506zbMath1207.65076OpenAlexW2069367450MaRDI QIDQ3544256

John R. Birge, Gongyun Zhao

Publication date: 5 December 2008

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3ea16cbb4b4dab07abc705f633314bdfb521a248

zbMATH Keywords

infinite horizonstochastic programmingdynamic programminglinear approximationcutting planes

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Dynamic programming (90C39)

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