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Transforming Stochastic Dynamic Programming Problems into Nonlinear Programs

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  • William T. Ziemba

    (The University of British Columbia)

Abstract

This paper investigates conditions under which stochastic dynamic programs easily reduce to static deterministic programs. The conditions, though strict, are still rich enough to aid in the solution of a number of practical problems.

Suggested Citation

  • William T. Ziemba, 1971. "Transforming Stochastic Dynamic Programming Problems into Nonlinear Programs," Management Science, INFORMS, vol. 17(7), pages 450-462, March.
    • Handle: RePEc:inm:ormnsc:v:17:y:1971:i:7:p:450-462
    DOI: 10.1287/mnsc.17.7.450
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