We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...

Concave objective functions which are both piecewise linear and separable are often encountered in a wide variety of management science problems. Provided the constraints are linear, problems of this ...

The Omega ratio is a recent performance measure. It captures both the downside and upside potentials of the constructed portfolio, while remaining consistent with utility maximization. In this paper, ...

Formulate linear and integer programming problems for solving commonly encountered optimization problems. Understand how approximation algorithms compute solutions that are guaranteed to be within ...

News Linear Programming Might Not Be Dead After All By George Winslow published July 21, 2021 ...

Linear programming solutions addressing ISR asset allocation are surfacing in the academic and private sectors. A GMU graduate-level paper, presented on the day of Dantzig’s death, takes on the ...

Stable Matchings, Optimal Assignments, and Linear Programming By: A. E. Roth, U. G. Rothblum and J. H. Vande Vate ...

Solving linear programming problems in a spreadsheet yields equations for maximizing business profits. As applied to business, linear programming typically involves an objective formula, such as ...