Computing Optimal Solutions for Infinite-Horizon Mathematical Programs with a Transient Stage

Published Online:https://doi.org/10.1287/opre.21.1.179

This paper studies multistage mathematical programs with an arbitrary transient phase followed by an infinite stationary phase with linear constraints and objective. It presents conditions tinder which a derived linear program will determine an optimal solution to the infinite problem. These conditions are general and may be validated by simple algebraic tests (perhaps solving a finite linear program). No topological restrictions are placed on the model.

INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.