Iterative parametric dynamic-programming and its application in reliability optimization

Iterative parametric dynamic-programming and its application in reliability optimization

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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:
Keywords: programming: dynamic
Abstract:

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.

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