【Topic】Information Relaxations and Duality in Stochastic Dynamic Programs

【Speaker】Peng Sun

【Time】2008-5-21 10:00-11:00

【Venue】Room 401, Weilun Building

【Language】English/Chinese

【Organizer】Department of Management Science and Engineering

【Target Audience】

【Backgound Information】

Peng Sun

Associate Professor of Decision Sciences, Duke University

Ph.D. MIT, 2003

Abstract

We describe a dual approach to stochastic dynamic programming: we relax the constraint that the chosen policy must be temporally feasible and impose a penalty that punishes violations of temporal feasibility. We describe the theory underlying this dual approach and demonstrate its use in dynamic programming models related to inventory control, option

pricing, and oil exploration.