A version of the simplex method for solving stochastic linear control problems is presented. The method uses a compact basis inverse representation that extensively exploits the original problem data and takes advantage of the supersparse structure of the problem. Computational experience indicates that the method is capable of solving large problems.
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics
- Linear programming
- simplex method
- stochastic programming