Stochastic programming approach to optimization under uncertainty
نویسندگان
چکیده
منابع مشابه
Stochastic programming approach to optimization under uncertainty
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved with a reasonable accuracy by Monte Carlo sampling techniques while there are indications that complexity of multistage programs grows fast with increase of the number of stages. We ...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2007
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-006-0090-4