410 search results - page 3 / 82 » Analysis of stochastic dual dynamic programming method |
PC
2000
14 years 9 months ago
2000
In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represe...
ICTAI
2005
IEEE
15 years 3 months ago
2005
IEEE
Stochastic Shortest Path problems (SSPs) can be efficiently dealt with by the Real-Time Dynamic Programming algorithm (RTDP). Yet, RTDP requires that a goal state is always reach...
AOR
2010
14 years 6 months ago
2010
We show how a technique from signal processing known as zero-delay convolution can be used to develop more efficient dynamic programming algorithms for a broad class of stochastic...
AUTOMATICA
2006
14 years 9 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
COR
2008
14 years 9 months ago
2008
Discrete-time optimal control problems arise naturally in many economic problems. Despite the rapid growth in computing power and new developments in the literature, many economic...