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):

• Grinold, Richard C.

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:

• *LINEAR PROGRAMMING
• *STOCHASTIC PROCESSES
• DECISION THEORY
• MARKOV PROCESSES
• MATRICES(MATHEMATICS)

Subject Categories:

• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE