Bounds and Approximations for Multistage Stochastic Programs
نویسندگان
چکیده
منابع مشابه
Bounds and Approximations for Multistage Stochastic Programs
Consider (typically large) multistage stochastic programs, which are defined on scenario trees as the basic data structure. It is well known that the computational complexity of the solution depends on the size of the tree, which itself increases typically exponentially fast with its height, i.e. the number of decision stages. For this reason approximations which replace the problem by a simple...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2016
ISSN: 1052-6234,1095-7189
DOI: 10.1137/140971889