In the classical secretary problem an employer would like to choose the best candidate among n competing candidates that arrive in a random order. In each iteration, one candidate's rank vis-a-vis ...
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 ...
Marshall, Paul W. "Linear Programming: A Technique for Analyzing Resource Allocation Problems." Harvard Business School Background Note 171-322, January 1971. (Revised November 1975.) ...
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