Multistage Stochastic Programming Problems; Stability and Approximation

Vlasta Kanková ()
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Vlasta Kanková: Academy of Sciences of the Czech Republic

A chapter in Operations Research Proceedings 2006, 2007, pp 595-600 from Springer

Abstract: Abstract A multistage stochastic programming problem can be introduced as a finite system of parametric one-stage optimization problems with an inner type of dependence and mathematical (mostly conditional) expectation in objective functions of the individual problems (for more details see e.g. [1], [3], [8]). The constraints sets can depend on the “underlying” probability measure.

Date: 2007
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DOI: 10.1007/978-3-540-69995-8_94

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