Abstract
We formally derive the standard deterministic linear program (LP) for bid-price control by making an affine functional approximation to the optimal dynamic programming value function. This affine functional approximation gives rise to a new LP that yields tighter bounds than the standard LP. Whereas the standard LP computes static bid prices, our LP computes a time trajectory of bid prices. We show that there exist dynamic bid prices, optimal for the LP, that are individually monotone with respect to time. We provide a column generation procedure for solving the LP within a desired optimality tolerance, and present numerical results on computational and economic performance.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
