Tree approximation for discrete time stochastic processes: a process distance approach

DOI10.1007/s10479-015-1994-2zbMath1332.90182OpenAlexW1478699982MaRDI QIDQ256651

Raimund M. Kovacevic, Alois Pichler

Publication date: 9 March 2016

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

Full work available at URL: https://doi.org/10.1007/s10479-015-1994-2

zbMATH Keywords

facility locationtree approximationoptimal transportstochastic processes and treesWasserstein and Kantorovich distance

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Uses Software

• L-BFGS

Cites Work

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