Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems.
Diana BarroElio CanestrelliPublished in: OR Spectr. (2016)
Keyphrases
- stochastic programming
- optimal control
- multistage
- dynamic programming
- stochastic optimization problems
- random variables
- capacity planning
- optimal policy
- linear program
- control strategy
- control policies
- optimization problems
- lot sizing
- infinite horizon
- single stage
- reinforcement learning
- multistage stochastic
- average cost
- markov decision processes
- knapsack problem
- control law
- state space
- cost function