Convergent Bounds for Stochastic Programs with Expected Value Constraints
نویسندگان
چکیده
منابع مشابه
Convergent Bounds for Stochastic Programs with Expected Value Constraints
This article elaborates a bounding approximation scheme for convex multistage stochastic programs (MSP) that constrain the conditional expectation of some decision-dependent random variables. Expected value constraints of this type are useful for modelling a decision maker’s risk preferences, but they may also arise as artefacts of stage-aggregation. It is shown that the gap between certain upp...
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 2009
ISSN: 0022-3239,1573-2878
DOI: 10.1007/s10957-008-9476-1