Open AccessNote—A Computational Refinement for Discrete-Valued Dynamic Programs with Convex Functions
Author(s) -
Don R. Robinson
Publication year - 1977
Publication title -
management science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.23.11.1251
Subject(s) - mathematical optimization , regular polygon , grid , dynamic programming , convex analysis , computer science , convex optimization , convex function , variable (mathematics) , mathematics , algorithm , mathematical analysis , geometry
A search procedure is presented for discrete-valued dynamic programming problems with the objective of minimising the sum of convex functions. This procedure may be more efficient than available methods if the sum is to be minimized over a uniform grid of values of the state variable. Furthermore, the procedure can be used to reduce the computational effort if only some of the return functions have a special structure.