Computerized analytical solutions in dynamic programming
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This paper concerns the computerized computation of analytical solutions to certain dynamic programming problems. The method is an algebraic approach as opposed to the discrete grid approximation technique typically used in dynamic programming. The algebraic approach, where applicable, has considerable computational advantages over the grid method. The problems considered are those with additive quadratic returns, linear transitions, a single state variable, and a decision variable per stage. Both convex and nonconvex returns are allowed, as well as certain nonserial stage structures. An analytical procedure for quadratic problems and its implementation in a computer program are discussed. Comparisons between the analytical approach and grid approximation methods are made with respect to computational time and accuracy. Because of the computational attractiveness of the analytical approach, it has potential for use in approximation schemes for more general dynamic programming problems. 1981.
Computers & Industrial Engineering
author list (cited authors)
Pope, D. N., & Curry, G. L.
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