In this paper various aspects of the realization of the dynamic programming algorithm are presented. Particular attention is focused on computational efficiency, which is obtained by presented discretization, approximation and parallelization techniques. Numerical solutions of some examples are briefly described and discussed. The last part presents a particular approach to handle stochastic constraints with illustrative examples. All numerical results were obtained on the CRAY 6416 super-server installed in Computing Center of the Warsaw University of Technology.
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