Accession Number:

AD0656045

Title:

L-SHAPED LINEAR PROGRAMS WITH APPLICATIONS TO OPTIMAL CONTROL AND STOCHASTIC PROGRAMMING

Descriptive Note:

Research rept.

Corporate Author:

CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s):

• Van Slyke, R. M.
• Wets, Roger J.

Report Date:

1967-06-01

Pagination or Media Count:

47.0

Abstract:

The paper gives an algorithm for L-shaped linear programs which arise naturally in optimal control problems with state constraints and stochastic linear programs which can be represented in this form with an infinite number of linear constraints. The first section describes a cutting hyperplane algorithm which is shown to be equivalent to a partial decomposition algorithm of the dual program. The two last sections are devoted to applications of the cutting hyperplane algorithm to a linear optimal control problem and stochastic programming problems.

Descriptors:

• *CONTROL
• *LINEAR PROGRAMMING
• *MATHEMATICAL PROGRAMMING
• *OPERATIONS RESEARCH
• *OPTIMIZATION
• *STOCHASTIC PROCESSES
• ALGORITHMS
• APPROXIMATION(MATHEMATICS)
• COSTS
• FEASIBILITY STUDIES
• PROBLEM SOLVING

Subject Categories:

• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE