Aggregation and discretization in multistage stochastic programming
نویسندگان
چکیده
منابع مشابه
Aggregation and discretization in multistage stochastic programming
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to ensure computational tractability, continuous-state stochastic programs are usually discretized; and frequently, the curse of dimensionality dictates that decision stages must be aggregated. In this article we construct...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2006
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-006-0048-6