Algorithms for solving Lagrangian multistage decision problems

Algorithms for solving Lagrangian multistage decision problems

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Article ID: iaor20012018
Country: Singapore
Volume: 17
Issue: 1
Start Page Number: 1
End Page Number: 16
Publication Date: May 2000
Journal: Asia-Pacific Journal of Operational Research
Authors: ,
Keywords: inventory
Abstract:

This paper considers issues relating to the analysis and solution via dynamic programming of multistage and sequential decision problems having Lagrangian type objective functions. Three schemes which exploit the multistage structure of the dynamic programming recursion are discussed and compared. Numerical results obtained from the application of these schemes to a reliability constrained inventory control problem are presented.

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