A Deterministic Dynamic Programming Approach for Optimization Problem with Quadratic Objective Function and Linear Constraints
This paper presents the novel deterministic dynamic programming approach for solving optimization problem with quadratic objective function with linear equality and inequality constraints. The proposed method employs backward recursion in which computations proceeds from last stage to first stage in a multi-stage decision problem. A generalized recursive equation which gives the exact solution of an optimization problem is derived in this paper. The method is purely analytical and avoids the usage of initial solution. The feasibility of the proposed method is demonstrated with a practical example. The numerical results show that the proposed method provides global optimum solution with negligible computation time.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1088438Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3235
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