Closed form solutions to nonserial, nonconvex quadratic programming problems using dynamic programming Academic Article uri icon

abstract

  • This paper presents a method for obtaining closed form solutions to serial and nonserial dynamic programming problems with quadratic stage returns and linear transitions. Global parametric optimum solutions can be obtained regardless of the convexity of the stage returns. The closed form solutions are developed for linear, convex, and nonconvex quadratic returns, as well as the procedure for recursively solving each stage of the problem. Dynamic programming is a mathematical optimization technique which is especially powerful for certain types of problems. This paper presents a procedure for obtaining analytical solutions to a class of dynamic programming problems. In addition, the procedure has been programmed on the computer to facilitate the solution of large problems. 1982.

published proceedings

  • Journal of Mathematical Analysis and Applications

author list (cited authors)

  • Pope, D. N., Curry, G. L., & Phillips, D. T.

citation count

  • 3

complete list of authors

  • Pope, Don N||Curry, Guy L||Phillips, Don T

publication date

  • April 1982