Solving multistage asset investment problems by the sample average approximation method
نویسندگان
چکیده
منابع مشابه
Solving multistage asset investment problems by the sample average approximation method
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects the solution quality of multistage stochastic programming problems. We present a new heuristic for determining good feasible solutions for a multistage decision problem. For power and log-utility functions we address ...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2006
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-006-0723-7