Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
نویسندگان
چکیده
منابع مشابه
Scenario Set Partition Dual Bounds for Multistage Stochastic Programming: A Hierarchy of Bounds and a Partition Sampling Approach
We consider multistage stochastic programming problems in which the random parameters have finite support, leading to optimization over a finite scenario set. We propose a hierarchy of bounds based on partitions of the scenario set into subsets of (nearly) equal cardinality. These expected partition (EP) bounds coincide with EGSO bounds provided by Sandıkçı et al. (2013) in the case that the su...
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ژورنال
عنوان ژورنال: INFORMS Journal on Computing
سال: 2020
ISSN: 1091-9856,1526-5528
DOI: 10.1287/ijoc.2018.0885