Extension of dynamic programming to nonseparable dynamic optimization problems

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)51-56
Journal / PublicationComputers and Mathematics with Applications
Volume21
Issue number11-12
Publication statusPublished - 1991
Externally publishedYes

Abstract

The use of dynamic programming is extended to a general nonseparable class where multiobjective optimization is used as a separation strategy. The original nonseparable dynamic optimization problem is first embedded into a separable, albeit multiobjective, optimization problem where multiobjective dynamic programming using the envelope approach is used as a solution scheme. Under certain conditions, the optimal solution of the original nonseparable problem is proven to be attained by a noninferior solution.