Pareto Optimal Solutions for Stochastic Dynamic Programming Problems via Monte Carlo Simulation
Joint Authors
Cardoso, R. T. N.
Takahashi, R. H. C.
Cruz, F. R. B.
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-11-12
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
A heuristic algorithm is proposed for a class of stochastic discrete-time continuous-variable dynamic programming problems submitted to non-Gaussian disturbances.
Instead of using the expected values of the objective function, the randomness nature of the decision variables is kept along the process, while Pareto fronts weighted by all quantiles of the objective function are determined.
Thus, decision makers are able to choose any quantile they wish.
This new idea is carried out by using Monte Carlo simulations embedded in an approximate algorithm proposed to deterministic dynamic programming problems.
The new method is tested in instances of the classical inventory control problem.
The results obtained attest for the efficiency and efficacy of the algorithm in solving these important stochastic optimization problems.
American Psychological Association (APA)
Cardoso, R. T. N.& Takahashi, R. H. C.& Cruz, F. R. B.. 2013. Pareto Optimal Solutions for Stochastic Dynamic Programming Problems via Monte Carlo Simulation. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-499154
Modern Language Association (MLA)
Cardoso, R. T. N.…[et al.]. Pareto Optimal Solutions for Stochastic Dynamic Programming Problems via Monte Carlo Simulation. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-499154
American Medical Association (AMA)
Cardoso, R. T. N.& Takahashi, R. H. C.& Cruz, F. R. B.. Pareto Optimal Solutions for Stochastic Dynamic Programming Problems via Monte Carlo Simulation. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-499154
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-499154