A portfolio of purchase contracts-an example of solving large-scale dynamic programming on parallel computers

L. C. Thomas*, K. I.M. Mckinnon, T. W. Archibald

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

The curse of dimensionality means that, though many stochastic sequential decision problems can be modelled as dynamic-programming problems, their memory requirements and large solution times make them impracticable to solve on most serial computers. This paper looks at an example of such a problem-the optimal portfolio of purchase contracts-whichwas solved using a parallel computer and a LAN of workstations. It concentrates on two questions related to the solution of this problem.

Original languageEnglish
Pages (from-to)193-204
Number of pages12
JournalIMA Journal of Management Mathematics
Volume6
Issue number2
DOIs
Publication statusPublished - 1 Apr 1995

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