descriptionPublicationkeyboard_double_arrow_right Article 01 Feb 1973 English Publisher:Institute for Operations Research and the Management Sciences (INFORMS)Journal:Operations Research, volume 21, pages 179-187 (issn: 0030-364X, eissn: 1526-5463,

Authors: Grinold, Richard C.; Hopkins, David S. P.;

doi: 10.1287/opre.21.1.179

Computing Optimal Solutions for Infinite-Horizon Mathematical Programs with a Transient Stage

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Abstract

This paper studies multistage mathematical programs with an arbitrary transient phase followed by an infinite stationary phase with linear constraints and objective. It presents conditions tinder which a derived linear program will determine an optimal solution to the infinite problem. These conditions are general and may be validated by simple algebraic tests (perhaps solving a finite linear program). No topological restrictions are placed on the model.

Related Organizations

Stanford University
United States
University of California, Berkeley
United States

Keywords

Trade models, Linear programming

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