From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties

DOI10.1137/15M1043376zbMath1346.90645OpenAlexW2510082327WikidataQ59254846 ScholiaQ59254846MaRDI QIDQ2817839

Alois Pichler, Georg Ch. Pflug

Publication date: 2 September 2016

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1043376

zbMATH Keywords

stochastic optimizationdecision treesoptimal transportation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)

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