Multistage stochastic programming: Error analysis for the convex case

DOI10.1007/BF01440737zbMath0810.90098MaRDI QIDQ4289820

Karl Frauendorfer

Publication date: 17 April 1995

Published in: [https://portal.mardi4nfdi.de/entity/Q4289815 ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research] (Search for Journal in Brave)

zbMATH Keywords

approximation techniquebarycentric optimizationconvex stochastic multistage programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

Related Items (8)

Stability in multistage stochastic programming ⋮ Barycentric scenario trees in convex multistage stochastic programming ⋮ Second-order scenario approximation and refinement in optimization under uncertainty ⋮ Unnamed Item ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Management of non-maturing deposits by multistage stochastic programming ⋮ Aggregation and discretization in multistage stochastic programming ⋮ Convergent bounds for stochastic programs with expected value constraints

Uses Software

• MSLiP

Cites Work

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