Bounds in multistage linear stochastic programming (Q467481): Difference between revisions
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The authors aim at generalizations of bounds developed for two-stage stochastic linear programming to scenario-based multistage stochastic linear programs. The starting points are the well-known convexity based Jensen and Edmundson-Madansky bounds and the value of stochastic solutions and their extensions, followed by heuristic bounds based on deterministic skeleton solutions, and several rolling horizon variants. Chains of inequalities among the proposed lower and upper bounds for the optimal value are provided and illustrated for a multistage single-sink transportation problem. | |||
| Property / review text: The authors aim at generalizations of bounds developed for two-stage stochastic linear programming to scenario-based multistage stochastic linear programs. The starting points are the well-known convexity based Jensen and Edmundson-Madansky bounds and the value of stochastic solutions and their extensions, followed by heuristic bounds based on deterministic skeleton solutions, and several rolling horizon variants. Chains of inequalities among the proposed lower and upper bounds for the optimal value are provided and illustrated for a multistage single-sink transportation problem. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Jitka Dupačová / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6363608 / rank | |||
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| Property / zbMATH Keywords | |||
multistage stochastic programming | |||
| Property / zbMATH Keywords: multistage stochastic programming / rank | |||
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| Property / zbMATH Keywords | |||
expected value problem | |||
| Property / zbMATH Keywords: expected value problem / rank | |||
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| Property / zbMATH Keywords | |||
value of stochastic solution | |||
| Property / zbMATH Keywords: value of stochastic solution / rank | |||
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| Property / zbMATH Keywords | |||
skeleton solution | |||
| Property / zbMATH Keywords: skeleton solution / rank | |||
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Revision as of 15:44, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds in multistage linear stochastic programming |
scientific article |
Statements
Bounds in multistage linear stochastic programming (English)
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3 November 2014
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The authors aim at generalizations of bounds developed for two-stage stochastic linear programming to scenario-based multistage stochastic linear programs. The starting points are the well-known convexity based Jensen and Edmundson-Madansky bounds and the value of stochastic solutions and their extensions, followed by heuristic bounds based on deterministic skeleton solutions, and several rolling horizon variants. Chains of inequalities among the proposed lower and upper bounds for the optimal value are provided and illustrated for a multistage single-sink transportation problem.
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multistage stochastic programming
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expected value problem
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value of stochastic solution
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skeleton solution
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