Solving multistage decision problems with non-separable performance indices via successive approximation

Document Type

Conference Proceeding

Publication Date

1-1-1992

Abstract

This paper presents a successive approximation algorithm for solving a class of deterministic multistage decision problems with general performance indices, which cover both separable and nonseparable objective functions. Convergence of the algorithm is proved under certain conditions. The constraint qualification for the problems considered is also discussed. Since only a trajectory is needed to be stored in each iteration, the method can be used to solve some high dimensional dynamic programming problems. The algorithm implementation and numerical results are presented and future research is discussed.

Identifier

84960366559 (Scopus)

ISBN

[0780307208, 9780780307209]

Publication Title

Conference Proceedings IEEE International Conference on Systems Man and Cybernetics

External Full Text Location

https://doi.org/10.1109/ICSMC.1992.271565

ISSN

1062922X

First Page

1526

Last Page

1531

Volume

1992-January

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