Adaptive discretization of convex multistage stochastic programs

DOI10.1007/s00186-006-0124-yzbMath1167.90614OpenAlexW2011610706MaRDI QIDQ1006551

Ivo Nowak, Stefan Vigerske

Publication date: 25 March 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0124-y

zbMATH Keywords

stochastic programmingscenario treemultistageadaptive discretizationscenario reduction

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

Adaptive discretization of convex multistage stochastic programs

Uses Software

• MSLiP
• CPLEX
• GAMS

Cites Work

• Unnamed Item
• MSLiP: A computer code for the multistage stochastic linear programming problem
• Adaptive discretization of convex multistage stochastic programs
• Bound-based approximations in multistage stochastic programming: nonanticipativity aggregation
• Scenario reduction in stochastic programming
• A heuristic for moment-matching scenario generation
• Scenario reduction algorithms in stochastic programming
• Relaxation and decomposition methods for mixed integer nonlinear programming.
• Stability of Multistage Stochastic Programs
• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
• Stochastic scenario decomposition for multistage stochastic programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization

This page was built for publication: Adaptive discretization of convex multistage stochastic programs