Transforming Stochastic Dynamic Programming Problems into Nonlinear Programs

This paper investigates conditions under which stochastic dynamic programs easily reduce to static deterministic programs. The conditions, though strict, are still rich enough to aid in the solution of a number of practical problems.

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Year of publication:	1971
Authors:	Ziemba, William T.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 17.1971, 7, p. 450-462
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.17.7.450 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009218226