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 ...
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...
Abstract. In stochastic programming and decision analysis, an important issue consists in the approximate representation of the multidimensional stochastic underlying process in th...
Kristina Sutiene, Dalius Makackas, Henrikas Pranev...
A large number of problems in production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncer...
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...