On distributionally robust multiperiod stochastic optimization
نویسندگان
چکیده
منابع مشابه
On distributionally robust multiperiod stochastic optimization
This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is de ned. We consider ambiguity neighborhoods around this tree as alternative models which are close to the baseline model. Closeness is de ned in terms of a distance for probability trees, called the nested distance. This ...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2014
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-014-0213-y