Contamination for multistage stochastic programs
نویسنده
چکیده
Contamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or of the input data. We shall focus on the case when the already selected scenario tree gets extended for additional (stress or out-of-sample) scenarios and/or additional stages. MSC 2000: 90C15, 90C31
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