DYNAMIC PROGRAMMING AND LAGRANGE MULTIPLIERS
RAND CORP SANTA MONICA CA
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In this paper it is shown that a combination of the classical Lagrange multiplier formalism and the functional equation technique of dynamic programming enables a number of types of variational problems involving the computation and tabulation of functions of M variables to be treated by computing first sequences of functions of K variables, and then sequences of functions of M--K variables, where K may be chosen within the range 1 or K or M-1. The choice of K depends upon the process This reduction in the dimensionality of the functions involved is equivalent to an increase in the capability of modern digital computers as far as dynamic programming processes are concerned.
- Operations Research