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 ...

The linear program is formulated using judiciously chosen variables and constraints and we show a one-to-one correspondence between algorithms for the secretary problem and feasible solutions to the ...

Marshall, Paul W. "Linear Programming: A Technique for Analyzing Resource Allocation Problems." Harvard Business School Background Note 171-322, January 1971. (Revised November 1975 ...

CSCI 5654: Linear Programming CSCI 5654: Linear Programming Instructor Fall 2016: Sriram Sankaranarayanan Prerequisites Calculus I,II + Algorithms + Linear Algebra. Topics Covered Roughly, we will ...