Fully polynomial time approximation schemes for stochastic dynamic programs

We develop a framework for obtaining Fully Polynomial Time Approximation Schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. Using our framework, we give the first FPTASs for several NP-hard problems in various fields of research such as knapsack-related problems, logistics, operations management, economics, and mathematical finance. ded abstract containing parts of this work appeared in the proceedings of the ACM-SIAM Symposium on Discrete Algorithms, 2008 Massachusetts Institute of Technology, Cambridge, MA Research supported in part by NSF Contracts DMI-0085683 and DMI-0245352, and by NASA interplanetary supply chain management and logistics architecture.

• Type: Conference
• Year: 2008
• Where: SODA
• Authors: Nir Halman, Diego Klabjan, Chung-Lun Li, James B. Orlin, David Simchi-Levi
• Keywords: Algorithms, Hong Kong Polytechnic University, Monotone Single-period Cost, Polynomial Time Approximation, SODA 2008