Fully Polynomial Time Approximation Schemes for Stochastic Dynamic Programs
We present a framework for obtaining fully polynomial time approximation schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. This framework is developed through the establishment of two sets of computational rules, namely, the calc...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Society for Industrial and Applied Mathematics
2017
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| Online Access: | http://hdl.handle.net/1721.1/109135 https://orcid.org/0000-0002-7488-094X https://orcid.org/0000-0002-4650-1519 |