2011•Wiley Encyclopedia of Operations Research and Management ScienceRequires access

Stochastic Dynamic Programming Models and Applications

Mehmet A. Begen

Abstract

Abstract We start with a short comparison of deterministic and stochastic dynamic programming models followed by a deterministic dynamic programming example and several extensions, which convert it to a stochastic one. We then present several applications and highlight some properties of stochastic dynamic programming formulations.

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Key concepts: Stochastic programming, Dynamic programming, Computer science, Mathematical optimization, Stochastic modelling, Reactive programming, Programming paradigm, Algorithm