Messner, Matthias; Pavoni, Nicola; Christopher, Sleet - Carnegie Mellon University, Tepper School of Business - 2011
We bring together the theories of duality and dynamic programming. We show that the dual of an additively separable dynamic optimization problem can be recursively decomposed using summaries of past Lagrange multipliers as state variables. Analogous to the Bellman decomposition of the primal...