Accession Number:
ADA001102
Title:
A New Approach to Multi-Stage Stochastic Linear Programs
Descriptive Note:
Research rept.
Corporate Author:
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
Personal Author(s):
Report Date:
1974-10-01
Pagination or Media Count:
22.0
Abstract:
This paper considers an infinite stage linear decision problem with random coefficients. It is assumed that the randomness can be defined by a finite Markov chain. Under certain assumptions the author is able to calculate an upper bound to an optimal value of the decision problem and to use that bound to determine a useful initial decision.
Descriptors:
Subject Categories:
- Operations Research