A class of nonseparable dynamic programming problems |
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Authors: | M Sniedovich |
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Institution: | (1) National Research Institute for Mathematical Sciences of the CSIR, Pretoria, South Africa |
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Abstract: | A solution procedure is proposed for a class of deterministic sequential decision problems whose objective functions are of the form f
n(x
n)+ ( g
n(x
n)) where is differentiable and either concave or convex. The procedure calls for the collaboration between dynamic programming and c-programming, and is demonstrated in our treatment of a minimum variance type problem. |
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Keywords: | Dynamic programming c-programming |
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