Robert B. Schnabel, Paul D. Frank, Tensor Methods for Nonlinear Equations, SIAM Journal on Numerical Analysis, Vol. 21, No. 5 (Oct., 1984), pp. 815-843 ...

In this problem, the optimal path is one that maximizes the expected utility, with the utility function being piecewise-linear and concave. Such a utility function can be used to approximate nonlinear ...