In addition to other methods we’ve discussed, a third type of variable spending model uses dynamic programming methods. These methods rely on complex computing power and mathematical equations to ...

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 ...

In this paper, we give an applications-oriented survey of geometric programming. This important class of nonlinear programming problems has been intensively studied over the past decade and has played ...