Multistage stochastic programs: The state-of-the-art and selected bibliography

Contamination for multistage stochastic programs

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

Scenario-Tree Decomposition: Bounds for Multistage Stochastic Mixed-Integer Programs

Multistage stochastic mixed-integer programming is a powerful modeling paradigm appropriate for many problems involving a sequence of discrete decisions under uncertainty; however, they are difficult to solve without exploiting special structures. We present scenario-tree decomposition to establish bounds for unstructured multistage stochastic mixed-integer programs. Our method decomposes the s...

Bibliography/Bibliography of Geometric Motifs in Islamic Art: Geometric Motifs in the Mirror of Written Sources from Past to Present, Parvin Babaei and Somayeh Zadamiri

Medium Term Hydroelectric Production Planning - A Multistage Stochastic Optimization Model

Multistage stochastic programming is a key technology for making decisions over time in an uncertain environment. One of the promising areas in which this technology is implementable, is medium term planning of electricity production and trading where decision makers are typically faced with uncertain parameters (such as future demands and market prices) that can be described by stochastic proc...

On Stability of Multistage Stochastic Programs

We study quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave Lipschitz continuous with respect to an Lp-distance. Therefor, we have to make a crucial regularity assumption on the conditional distributions, that allows to establish continuity of the recourse function with respect to...