Approximating the Value Functions of Stochastic Knapsack Problems: A Homogeneous Monge-Amp\'ere Equation and Its Stochastic Counterparts

zbMath1175.90305arXiv0805.1710MaRDI QIDQ5460100

Yingdong Lu

Publication date: 2 May 2008

Full work available at URL: https://arxiv.org/abs/0805.1710

zbMATH Keywords

diffusion approximationfluid limit

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Combinatorial optimization (90C27) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Equivalent boundedness of Marcinkiewicz integrals on non-homogeneous metric measure spaces ⋮ Fractional type Marcinkiewicz integral operators associated to surfaces ⋮ Estimates for fractional type Marcinkiewicz integrals with non-doubling measures ⋮ Upper bounds for the 0-1 stochastic knapsack problem and a B\&B algorithm

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