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2008•RePEc: Research Papers in EconomicsRequires access

Multistage Stochastic Programs via Stochastic Parametric Optimization

Vlasta Kaňková

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Abstract

Abstract Multistage stochastic programming problems can be defined as a finite system of (mostly parametric) one-stage stochastic programming problems with an inner type of dependence (for details see e.g. [1], [2], [6]). Employing this approach we can introduce the multistage (M+1-stage, M ≥ 1) stochastic programming problem as the problem.

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Abstract Multistage stochastic programming problems can be defined as a finite system of (mostly parametric) one-stage stochastic programming problems with an inner type of dependence (for details see e.g. [1], [2], [6]). Employing this approach we can introduce the multistage (M+1-stage, M ≥ 1) stochastic programming problem as the problem.

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Available abstract

Abstract Multistage stochastic programming problems can be defined as a finite system of (mostly parametric) one-stage stochastic programming problems with an inner type of dependence (for details see e.g. [1], [2], [6]). Employing this approach we can introduce the multistage (M+1-stage, M ≥ 1) stochastic programming problem as the problem.

Key concepts: Stochastic programming, Stochastic optimization, Mathematical optimization, Parametric statistics, Computer science, Parametric programming, Dynamic programming, Stochastic modelling

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