Tree Approximations of Dynamic Stochastic Programs
نویسندگان
چکیده
منابع مشابه
Tree Approximations of Dynamic Stochastic Programs
Dynamic stochastic optimization models play an important role in the management of financial portfolios, energy production and trading, insurance portfolios, supply-chains etc. While one-period models look for optimal decision values or decision vectors based on all available information now, the multi-period models contain planned future decisions, which are functions of the information, which...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2007
ISSN: 1052-6234,1095-7189
DOI: 10.1137/060658552