Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
476607 | European Journal of Operational Research | 2014 | 11 Pages |
•We consider a stochastic knapsack problem with nn types of items and each has infinite supply.•Stochastic dynamic programming method is applied in evaluating the optimal value function.•When only two types of items available, there exists an optimal policy.•A straightforward heuristic policy for general nn gives good performance.
We consider a stochastic knapsack problem in which the event of overflow results in the problem ending with zero return. We assume that there are n types of items available where each type has infinite supply. An item has an exponentially distributed random weight with a known mean depending on its type and the item’s value is proportional to its weight with a given factor depending on the item’s type. We have to make a decision on each stage whether to stop, or continue to put an item of a selected type in the knapsack. An item’s weight is learned when placed to the knapsack. The objective of this problem is to find a policy that maximizes the expected total values. Using the framework of dynamic programming, the optimal policy is found when n=2n=2 and a heuristic policy is suggested for n>2n>2.