Article ID: | iaor199769 |
Country: | United States |
Volume: | 191 |
Issue: | 3 |
Start Page Number: | 589 |
End Page Number: | 607 |
Publication Date: | Mar 1995 |
Journal: | Journal of Mathematical Analysis and Applications |
Authors: | Li D. |
Keywords: | programming: dynamic |
This paper considers a class of optimization problems that is nonseparable in the sense of dynamic programming. Iterative parametric dynamic programming is proposed where multi-objective optimization is used as a separation strategy and the optimal solution is sought in a multilevel fashion. At the lower level, the auxiliary weighted pth-power Lagrangean problem is solved using dynamic programming. The upper level adjusts the value of the weighting vector in the weighted pth-power Lagrangean problem based on the calculated optimal search direction. The two-level solution process repeats until the optimal solution of the nonseparable optimization problem is attained by the optimal solution of an auxiliary weighted pth-power Lagrangean problem. Application of the proposed iterative parametric dynamic programming in constrained reliability optimization; problems is presented.