Approximating the solution of a dynamic, stochastic multiple knapsack problem

• Autorzy: Hartman J. C. , Perry T. C.
• Języki publikacji: EN

Abstrakty

EN

We model an environment where orders arrive probabilistically over time, with their revenues and capacity requirements becoming known upon arrival. The decision is whether to accept an order, receiving a reward and reserving capacity, or reject an order, freeing capacity for possible future arrivals. We model the dynamic, stochastic multiple knapsack problem (DSMKP) with stochastic dynamic programming (SDP). Multiple knapsacks are used as orders may stay in the system for multiple periods. As the state space grows exponentially in the number of knapsacks and the number of possible orders per period, we utilize linear programming and duality to quickly approximate the end-of-horizon values for the SDP. This helps mitigate end-of-study effects when solving the SDP directly, allowing for the solution of larger problems and leading to increased quality in solutions.

Słowa kluczowe

EN

stochastic dynamic programming; approximate dynamic programming; linear programming; duality

PL

programowanie liniowe; dualność

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2006
• Tom: Vol. 35, no 3
• Strony: 535--550
• Opis fizyczny: Bibliogr. 11 poz., rys., wykr.

Twórcy

autor

Hartman J. C.

autor

Perry T. C.

• Industrial and Systems Engineering, Lehigh University, Bethlehem, Pennsylvania, USA

Bibliografia

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