We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...

In the present paper a bi-objective integer linear programming problem (BILP) is discussed. The main effort in this work is to effectively implement the ϵ-constraint method to produce a complete set ...

Marshall, Paul W. "Linear Programming: A Technique for Analyzing Resource Allocation Problems." Harvard Business School Background Note 171-322, January 1971. (Revised November 1975.) ...