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Finite horizon approximations of infinite horizon linear programs

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  • GRINOLD, Richard C.

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Suggested Citation

  • GRINOLD, Richard C., 1977. "Finite horizon approximations of infinite horizon linear programs," LIDAM Reprints CORE 294, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:294
    DOI: 10.1007/BF01593765
    Note: In : Mathematical Programming, 12, 1-17, 1977
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    Cited by:

    1. L.A. Korf, 1998. "Insurer's Portfolios of Risks: Approximating Infinite Horizon Stochastic Dynamic Optimization Problems," Working Papers ir98061, International Institute for Applied Systems Analysis.
    2. David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
    3. Thomas W.M. Vossen & Fan You & Dan Zhang, 2022. "Finite‐horizon approximate linear programs for capacity allocation over a rolling horizon," Production and Operations Management, Production and Operations Management Society, vol. 31(5), pages 2127-2142, May.
    4. Ghate, Archis, 2015. "Circumventing the Slater conundrum in countably infinite linear programs," European Journal of Operational Research, Elsevier, vol. 246(3), pages 708-720.
    5. Archis Ghate & Dushyant Sharma & Robert L. Smith, 2010. "A Shadow Simplex Method for Infinite Linear Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 865-877, August.
    6. Lisa Korf, 2006. "Approximating infinite horizon stochastic optimal control in discrete time with constraints," Annals of Operations Research, Springer, vol. 142(1), pages 165-186, February.
    7. H. Edwin Romeijn & Robert L. Smith, 1998. "Shadow Prices in Infinite-Dimensional Linear Programming," Mathematics of Operations Research, INFORMS, vol. 23(1), pages 239-256, February.
    8. Archis Ghate & Robert L. Smith, 2013. "A Linear Programming Approach to Nonstationary Infinite-Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 61(2), pages 413-425, April.

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