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

Zhao Qin Zuo, Meng Chu Zhou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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.

Original languageEnglish (US)
Title of host publication1992 IEEE International Conference on Systems, Man, and Cybernetics
Subtitle of host publicationEmergent Innovations in Information Transfer Processing and Decision Making, SMC 1992
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1526-1531
Number of pages6
ISBN (Electronic)0780307208, 9780780307209
DOIs
StatePublished - Jan 1 1992
EventIEEE International Conference on Systems, Man, and Cybernetics, SMC 1992 - Chicago, United States
Duration: Oct 18 1992Oct 21 1992

Publication series

NameConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
Volume1992-January
ISSN (Print)1062-922X

Other

OtherIEEE International Conference on Systems, Man, and Cybernetics, SMC 1992
CountryUnited States
CityChicago
Period10/18/9210/21/92

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Human-Computer Interaction

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