66 search results - page 3 / 14 » Scenarios for Multistage Stochastic Programs |
SIAMJO
2008
13 years 7 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...
ORL
2006
13 years 7 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...
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ORL
2008
13 years 7 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...
MP
2008
13 years 7 months ago
2008
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to en...
COR
2007
13 years 7 months ago
2007
We present a framework for solving multistage pure 0–1 programs for a widely used sequencing and scheduling problem with uncertainty in the objective function coefficients, the...