Numerical evaluation of approximation methods in stochastic programming

DOI10.1080/02331931003700756zbMath1196.90085OpenAlexW4248690951MaRDI QIDQ3577838

Stefan Vigerske, Christian Küchler

Publication date: 26 July 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331931003700756

zbMATH Keywords

multistage stochastic programmingscenario treeout-of-sample evaluation

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Dynamic programming (90C39) Discrete approximations in optimal control (49M25)

Related Items (2)

Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• Scenario reduction in stochastic programming with respect to discrepancy distances
• Scenario tree modeling for multistage stochastic programs
• Scenario reduction in stochastic programming
• Stability of Multistage Stochastic Programs
• Tree Approximations of Dynamic Stochastic Programs
• On Stability of Multistage Stochastic Programs
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

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