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Technical Note—Cyclic Dynamic Programming: A Procedure for Problems with Fixed Delay

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  • David G. Luenberger

    (Stanford University, Stanford, California)

Abstract

A dynamic decision problem in which the effect of control action is either delayed for a number of time periods or has an effect that lasts for a fixed period leads, in the conventional formulation, to a high-dimensional dynamic-programming problem. This paper develops a method for exploiting the inherent structure of such problems that leads to low-dimensional “cyclic dynamic programming” problems that are easier to solve than the problem that is obtained by the conventional approach.

Suggested Citation

  • David G. Luenberger, 1971. "Technical Note—Cyclic Dynamic Programming: A Procedure for Problems with Fixed Delay," Operations Research, INFORMS, vol. 19(4), pages 1101-1110, August.
    • Handle: RePEc:inm:oropre:v:19:y:1971:i:4:p:1101-1110
    DOI: 10.1287/opre.19.4.1101
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