Solution Methods for Stochastic Dynamic Linear Programs

机译：随机动态线性规划的求解方法

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Linear programs have been formulated for many practical situations that require decisions made periodically through time. These dynamic linear programs often involve uncertainties. Deterministic solutions of these problems may lead to costly incorrect decisions, and, when a stochastic solution is attempted the problem may become too large. In this report, we present methods for reducing the computational cost of these stochastic programs, and we show conditions under which the stochastic program need not be solved. Our methods are based on the large-scale programming techniques of decomposition, partitioning, and basic factorization. (Author)

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作者
Birge, J. R.;
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年度 1980
页码 p.1-138
总页数 138
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Linear programming; Stochastic control; Dynamic programming; Optimization; Theorems; Algorithms; Decision making; Decomposition; Simplex method;

机译：线性规划;随机控制;动态规划;优化;定理;算法;决策;分解;单纯形法;

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Solution Methods for Stochastic Dynamic Linear Programs

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