Multistage Stochastic Linear Programming: Aggregation, Approximation, and Some Open Problems∗
نویسندگان
چکیده
The purpose of this paper is to investigate the possiblility to approximate computationally multistage stochastic linear programs with arbitrary underlying probability distributions by those with finite discrete probability distributions—to begin with, just for the special case of only the right-hand-side being random.
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