On approximation in multistage stochastic programs: Markov dependence

Vlasta Kaňková; Martin Šmíd

Kybernetika (2004)

  • Volume: 40, Issue: 5, page [625]-638
  • ISSN: 0023-5954

Abstract

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A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.

How to cite

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Kaňková, Vlasta, and Šmíd, Martin. "On approximation in multistage stochastic programs: Markov dependence." Kybernetika 40.5 (2004): [625]-638. <http://eudml.org/doc/33724>.

@article{Kaňková2004,
abstract = {A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.},
author = {Kaňková, Vlasta, Šmíd, Martin},
journal = {Kybernetika},
keywords = {multistage stochastic programming problem; approximation solution scheme; deterministic approximation; empirical estimate; Markov dependence; multistage stochastic programming problem; approximation solution scheme; deterministic approximation; Markov dependence},
language = {eng},
number = {5},
pages = {[625]-638},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On approximation in multistage stochastic programs: Markov dependence},
url = {http://eudml.org/doc/33724},
volume = {40},
year = {2004},
}

TY - JOUR
AU - Kaňková, Vlasta
AU - Šmíd, Martin
TI - On approximation in multistage stochastic programs: Markov dependence
JO - Kybernetika
PY - 2004
PB - Institute of Information Theory and Automation AS CR
VL - 40
IS - 5
SP - [625]
EP - 638
AB - A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.
LA - eng
KW - multistage stochastic programming problem; approximation solution scheme; deterministic approximation; empirical estimate; Markov dependence; multistage stochastic programming problem; approximation solution scheme; deterministic approximation; Markov dependence
UR - http://eudml.org/doc/33724
ER -

References

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