A dynamic programming approach for constrained multi-stage problems via multi-parametric programming Conference Paper uri icon


  • 2007 EUCA. This paper presents a new algorithm for multi-stage decision problems with hard constraints. The algorithm is based upon the concepts of dynamic programming and multi-parametric programming. The multi-stage problem is considered within a framework of dynamic programming where each echelon of problem is formulated and solved as a multi-parametric program. The state-space of a given stage constitutes the parametric space whereas the state-space of the next stage represents the space of control or optimisation variables. The solution of the resulting multi-parametric program is given by the control or the optimization variables as a set of explicit functions of the parameters. The dynamic recursive nature of the multi-stage problem is preserved and a set of sequential and simpler multi-parametric programs which are constrained by a reduced number of inequalities is obtained. This results in a reduction in the complexity of the overall problem. The underlying theory is described in detail and numerical examples are presented to illustrate the potential of this new approach.

name of conference

  • 2007 European Control Conference (ECC)

published proceedings

  • 2007 European Control Conference (ECC)

author list (cited authors)

  • Faisca, N. P., Kouramas, K. I., & Pistikopoulos, E. N.

citation count

  • 0

complete list of authors

  • Faisca, NP||Kouramas, KI||Pistikopoulos, EN

publication date

  • January 2015