Approximating the Value Functions of Stochastic Knapsack Problems: A Homogeneous Monge-Ampére Equation and Its Stochastic Counterparts

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dc.creatorLu, Yingdong
dc.date2008-05-12
dc.date.accessioned2026-07-07T09:38:25Z
dc.date.available2026-07-07T09:38:25Z
dc.descriptionStochastic knapsack problem originally was a versatile model for controls in telecommunication networks. Recently, it draws attentions of revenue management community by serving as a basic model for allocating resources over time. We develop approximation schemes for knapsack problems in this paper, a system of nonlinear but solvable partial differential equations and stochastic partial differential equation are shown to be the limit of the process that following the optimal solution of the stochastic knapsack problem.
dc.identifierhttps://arxiv.org/abs/0805.1710
dc.identifierhttp://arxiv.org/abs/0805.1710
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/160801
dc.subjectOptimization and Control
dc.titleApproximating the Value Functions of Stochastic Knapsack Problems: A Homogeneous Monge-Ampére Equation and Its Stochastic Counterparts
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