410 search results - page 3 / 82 » Analysis of stochastic dual dynamic programming method |
PC
2000
13 years 7 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
14 years 29 days 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
13 years 4 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
13 years 7 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
13 years 7 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...