39 search results - page 1 / 8 » On Stability of Multistage Stochastic Programs |
SIAMJO
2008
13 years 4 months ago
2008
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...
INFORMATICALT
2010
12 years 11 months ago
2010
Abstract. In stochastic programming and decision analysis, an important issue consists in the approximate representation of the multidimensional stochastic underlying process in th...
MP
2008
13 years 4 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
ORL
2006
13 years 4 months ago
2006
In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample aver...
ORL
2008
13 years 4 months ago
2008
We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness o...