Accession Number : AD0636040

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

Corporate Author : BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH MATHEMATICS RESEARCH LAB

Personal Author(s) : Wets, Roger ; van Slyke,R. M.

Report Date : APR 1966

Pagination or Media Count : 31

Abstract : This 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. (Author)

Descriptors :   (*LINEAR PROGRAMMING, *STOCHASTIC PROCESSES), (*CONTROL, OPTIMIZATION), ALGORITHMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE