| Article ID: | iaor19993135 |
| Country: | Japan |
| Volume: | 41 |
| Issue: | 3 |
| Start Page Number: | 351 |
| End Page Number: | 373 |
| Publication Date: | Sep 1998 |
| Journal: | Journal of the Operations Research Society of Japan |
| Authors: | Fujita Toshiharu, Tsurusaki Kazuyoshi |
| Keywords: | programming: dynamic, markov processes, programming: parametric, control processes |
In this paper we show three methods for solving optimization problems of expected value of multiplicative functions with negative values; multi-stage stochastic decision tree, Markov bidecision process and invariant imbedding approach.