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Sensitivity Analysis and Dynamic Programming

  1. Chin Hon Tan,
  2. Joseph C. Hartman

Published Online: 15 FEB 2011

DOI: 10.1002/9780470400531.eorms0759

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Tan, C. H. and Hartman, J. C. 2011. Sensitivity Analysis and Dynamic Programming. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. University of Florida, Industrial and Systems Engineering, Gainesville, Florida

Publication History

  1. Published Online: 15 FEB 2011

Abstract

The validity of any dynamic programming solution depends on the accuracy of the model and the data for a given instance. However, the parameters of the model are often uncertain and estimated in practice. In this paper, we discuss various concepts of sensitivity analysis and survey the work on sensitivity analysis in the dynamic programming literature. In addition, we highlight the relationship between dynamic programming and linear programming and how the approaches and results from the latter can be applied to dynamic programs. A list of promising areas of future research is provided.

Keywords:

  • dynamic programming;
  • linear programming;
  • sensitivity analysis;
  • optimization;
  • MDP