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 ...

Alejandro Toriello, William B. Haskell, Michael Poremba, A Dynamic Traveling Salesman Problem with Stochastic Arc Costs, Operations Research, Vol. 62, No. 5 (September-October 2014), pp. 1107-1125 ...

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