Multistage stochastic decision problems: Approximation by recursive structures and ambiguity modeling

Georg Ch. Pflug

European Journal of Operational Research, 2023, vol. 306, issue 3, 1027-1039

Abstract: Stochastic multistage decision problems appear in many - if not all - application areas of Operations Research. While to define such problems is easy, to solve them is quite difficult, since they are of infinite dimension. Numerical solution can only be found by solving an approximate, easier problem. In this paper, we show good approximations can be found, where we emphasize the recursive structure of the involved algorithms and data structures.

Keywords: Stochastic programming; Scenario tree generation; Recursive algorithms; Model error; Distributionally robust solutions (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:306:y:2023:i:3:p:1027-1039

DOI: 10.1016/j.ejor.2022.04.002

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