Fully polynomial time approximation schemes for stochastic dynamic programs

We develop a framework for obtaining (deterministic) Fully Polynomial Time Approximation Schemes (FPTASs) for stochastic univariate dynamic programs with either convex or monotone single-period cost functions. Using our framework, we give the first FPTASs for several NP-hard problems in various fields of research such as knapsack-related problems, logistics, operations management, economics, and mathematical finance.

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