An information-based approximation scheme for stochastic optimization problems in continuous time

DOI10.1287/MOOR.1080.0369MaRDI QIDQ3169043zbMATH OpenOpenAlexFDO

Authors Daniel Kuhn

Publication date 27 April 2011

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/49243d66f4b032dc43605b358e0e26a4a29752ee

zbMATH Keywords

boundsstage aggregationstochastic controlstochastic optimizationtime discretization

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cited in

(6)

• Monotonic bounds in multistage mixed-integer stochastic programming
• Decision-dependent probabilities in stochastic programs with recourse
• Bounds and approximations for multistage stochastic programs
• Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
• An approximation scheme for stochastic dynamic optimization problems
• Primal and dual linear decision rules in stochastic and robust optimization

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