运筹学Ⅲ教学资料 19 Probabilistic Dynamic Programming.pdfVIP

Probabilistic Dynamic Programming Recall from our study of deterministic dynamic programming that many recursions were of the following form: ft (current state) min (or max){costs during current stage ft1 (new state)} all feasible decisions For all the examples in Chapter 18, a specification of the current state and current decision was enough to tell us with certainty the new state and the costs during the current stage. In many practical problems, these factors may not be known with certainty, even if the current state and decision are known. For example, in the inventory model of Section 18.3, we as- sumed that each period’s demand was known at the beginning of the problem. In most situa- tions, it would be more realistic to assume that period t’s demand is a random variable whose value is not known until after period t’s production decision is made. Even if we know the cur- rent period’s state (beginning inventory level) and decision (production during the current pe- riod), the next period’s state and the current period’s cost will be random variables whose val- ues are not known until the value of period t’s demand is known. The Chapter 18 discussion simply does not apply to this problem. In this chapter, we explain how to use dynamic programming to solve problems in which the current period’s cost or the next pe