Scenario Trees and Policy Selection for Multistage Stochastic Programming Using Machine Learning
نویسندگان
چکیده
منابع مشابه
Scenario Trees and Policy Selection for Multistage Stochastic Programming Using Machine Learning
I the context of multistage stochastic optimization problems, we propose a hybrid strategy for generalizing to nonlinear decision rules, using machine learning, a finite data set of constrained vector-valued recourse decisions optimized using scenario-tree techniques from multistage stochastic programming. The decision rules are based on a statistical model inferred from a given scenario-tree s...
متن کاملMachine Learning Solution Methods for Multistage Stochastic Programming
This thesis investigates the following question: Can supervised learning techniques be successfully used for finding better solutions to multistage stochastic programs? A similar question had already been posed in the context of reinforcement learning, and had led to algorithmic and conceptual advances in the field of approximate value function methods over the years (Lagoudakis and Parr, 2003;...
متن کاملStability and scenario trees for multistage stochastic programs
By extending the stability analysis of [20] for multistage stochastic programs we show that their (approximate) solution sets behave stable with respect to the sum of an Lr-distance and a filtration distance. Based on such stability results we suggest a scenario tree generation method for the (multivariate) stochastic input process. It starts with an initial scenario set and consists of a recur...
متن کاملPath-dependent scenario trees for multistage stochastic programmes in finance
The formulation of dynamic stochastic programmes for financial applications generally requires the definition of a risk–reward objective function and a financial stochastic model to represent the uncertainty underlying the decision problem. The solution of the optimization problem and the quality of the resulting strategy will depend critically on the adopted financial model and its consistency...
متن کاملThe Scenario Generation Algorithm for Multistage Stochastic Linear Programming
A multistage stochastic linear program (MSLP) is a model of sequential stochastic optimization where the objective and constraints are linear. When any of the random variables used in the MSLP are continuous, the problem is infinite dimensional. In order to numerically tackle such a problem we usually replace it with a finite dimensional approximation. Even when all the random variables have fi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: INFORMS Journal on Computing
سال: 2013
ISSN: 1091-9856,1526-5528
DOI: 10.1287/ijoc.1120.0516