TY - GEN
T1 - Fully Polynomial Time Approximation Schemes for stochastic dynamic programs
AU - Halman, Nir
AU - Klabjan, Diego
AU - Li, Chung Lun
AU - Orlin, James
AU - Simchi-Levi, David
PY - 2008
Y1 - 2008
N2 - We develop a framework for obtaining (deterministic) Fully Polynomial Time Approximation Schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. Using our framework, we give the first FPTASs for several NP-hard problems in various fields of research such as knapsack-related problems, logistics, operations management, economics, and mathematical finance.
AB - We develop a framework for obtaining (deterministic) Fully Polynomial Time Approximation Schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. Using our framework, we give the first FPTASs for several NP-hard problems in various fields of research such as knapsack-related problems, logistics, operations management, economics, and mathematical finance.
UR - http://www.scopus.com/inward/record.url?scp=51849137610&partnerID=8YFLogxK
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AN - SCOPUS:51849137610
SN - 9780898716474
T3 - Proceedings of the Annual ACM-SIAM Symposium on Discrete Algorithms
SP - 700
EP - 709
BT - Proceedings of the 19th Annual ACM-SIAM Symposium on Discrete Algorithms
T2 - 19th Annual ACM-SIAM Symposium on Discrete Algorithms
Y2 - 20 January 2008 through 22 January 2008
ER -