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A new algorithm for the solution of multi-state dynamic programming problems

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Abstract

This paper presents a new algorithm for the solution of multi-state dynamic programming problems, referred to as the Progressive Optimality Algorithm. It is a method of successive approximation using a general two-stage solution. The algorithm is computationally efficient and has minimal storage requirements. A description of the algorithm is given including a proof of convergence. Performance characteristics for a trial problem are summarized.

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References

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Authors and Affiliations

  1. McGill University, Montreal, Quebec, Canada

    H. R. Howson & N. G. F. Sancho

Authors
  1. H. R. Howson
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  2. N. G. F. Sancho
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Additional information

The authors acknowledge financial assistance received from the National Reserach Council of Canada, grants A8648 and A4051, which partially supported this research.

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Howson, H.R., Sancho, N.G.F. A new algorithm for the solution of multi-state dynamic programming problems. Mathematical Programming 8, 104–116 (1975). https://doi.org/10.1007/BF01580431

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  • DOI: https://doi.org/10.1007/BF01580431

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