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Warren Powell Warren Powell is an Influencer

Professor Emeritus, Princeton University/ Co-Founder, Optimal Dynamics/ Executive-in-Residence Rutgers Business School

I love Anand Subramanian's post that brings out the origins of the field of linear programming. I recently came to the realization that all the motivating applications of linear programming used by Dantzig were in fact fully sequential (and stochastic). Which means, you do not just solve a single linear program - you have to solve them sequentially over time, where a decision at one point in time affects what you can do the next time you solve it. We would call these "dynamic programs", but if you call them a "dynamic program" everyone in operations research would then go running to Bellman's equation, which is virtually useless for the large resource allocation problems that arise in military applications. While we *may* use approximate dynamic programming to capture the impact of decisions on the future, another way is to solve suitably parameterized linear programs that are tuned so that the solution works well over time (think of buffer stocks and schedule slack). This is what people already do in practice, but in an ad hoc way. I call this approach a parametric cost function approximation (CFA). See https://lnkd.in/eEcpM4Ex ("tinyurl.com/" with "cfapolicy")

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Associate Professor at Universidade Federal da Paraíba | Host of the "Subject to" (s.t.) podcast

Did you know that the "Linear Programming" was originally referred to as "Programming in a Linear Structure"? Did you also know that the term "primal" was actually coined by George Dantzig's father Tobias Dantzig in 1954? If you are interested in exploring the origins of these and other Optimization terms such as "simplex method" and "mathematical programming", then check out this excerpt written by Dantzig himself for the book "History of Mathematical Programming: A Collection of Personal Reminiscences", published in 1991. The article also appeared in 2002 in Operations Research and it can be accessed here: https://lnkd.in/dPEkMK34. Other fascinating stories related to linear programming and mathematical optimization can be found in several episodes of the "Subject to" (s.t.) podcast, including those with legends from the field such as Robert Bixby (https://lnkd.in/dNGeXgMs), Vasek Chvatal (https://lnkd.in/dHYge6S3), and Dimitris Bertsimas (https://lnkd.in/dUNa-d8n). Be sure to check them out!

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Jeronymo Marcondes

Head of Data Science | Data Science Professor

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