Linear Programming is a mathematical technique for maximizing or minimizing a linear function of several variables, such as cost. One of the reason for the popularity of LP is that it allows to model ...

Ron Shamir, Probabilistic Analysis in Linear Programming, Statistical Science, Vol. 8, No. 1, Report from the Committee on Applied and Theoretical Statistics of the National Research Council on ...

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...