Constrained dynamic programming of mixed-integer linear problems by multi-parametric programming
This work addresses the topic of constrained dynamic programming for problems involving multi-stage mixed-integer linear formulations with a linear objective function. It is shown that such problems may be decomposed into a series of multi-parametric mixed-integer linear problems, of lower dimension...
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| Veröffentlicht in: | Computers & chemical engineering Jg. 70; S. 172 - 179 |
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| Hauptverfasser: | , |
| Format: | Journal Article |
| Sprache: | Englisch |
| Veröffentlicht: |
Elsevier Ltd
05.11.2014
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| Schlagworte: | |
| ISSN: | 0098-1354, 1873-4375 |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | This work addresses the topic of constrained dynamic programming for problems involving multi-stage mixed-integer linear formulations with a linear objective function. It is shown that such problems may be decomposed into a series of multi-parametric mixed-integer linear problems, of lower dimensionality, that are sequentially solved to obtain the globally optimal solution of the original problem. At each stage, the dynamic programming recursion is reformulated as a convex multi-parametric programming problem, therefore avoiding the need for global optimisation that usually arises in hard constrained problems. The proposed methodology is applied to a problem of mixed-integer linear nature that arises in the context of inventory scheduling. The example also highlights how the complexity of the original problem is reduced by using dynamic programming and multi-parametric programming. |
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| Bibliographie: | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23 |
| ISSN: | 0098-1354 1873-4375 |
| DOI: | 10.1016/j.compchemeng.2014.03.021 |