Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner [17] and Weingartner and Ness [19] by including multilevel ...

IEMS 469: Dynamic Programming VIEW ALL COURSE TIMES AND SESSIONS Prerequisites Basic knowledge of probability (random variables, expectation, conditional probability), optimization (gradient), ...

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We study an efficient method based on linear programming for approximating solutions to such problems. The approach "fits" a linear combination of pre-selected basis functions to the dynamic ...