We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...

George B. Dantzig, the mathematician who invented the field of linear programming, which revolutionized the way government and private enterprise planned, scheduled and generally conducted their ...

Using an illustration drawn from the area of inventory control, this paper demonstrates how a typical sequential probabilistic model may be formulated in terms of (a) an initial decision rule and (b) ...

Roth, A. E., U. G. Rothblum, and J. H. Vande Vate. "Stable Matchings, Optimal Assignments, and Linear Programming." Mathematics of Operations Research 18, no. 4 ...

Marshall, Paul W. "Linear Programming: A Technique for Analyzing Resource Allocation Problems." Harvard Business School Background Note 171-322, January 1971. (Revised November 1975.) ...