Bounding multi-stage stochastic programs from above

DOI10.1007/BF01582142MaRDI QIDQ689156zbMATH OpenFDO

Authors Stein W. Wallace, Tiecheng Yan

Publication date 6 December 1993

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01582142

zbMATH Keywords

upper boundmulti-stage stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 4062822 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
• A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
• A piecewise linear upper bound on the network recourse function
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Multistage Stochastic Programming with Recourse: The Equivalent Deterministic Problem
• Multistage stochastic programs with block-separable recourse
• NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
• Partitioning procedures for solving mixed-variables programming problems
• Refining bounds for stochastic linear programs with linearly transformed independent random variables
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
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• Sublinear upper bounds for stochastic programs with recourse
• When Is a Multistage Stochastic Programming Problem Well-Defined?

Cited in

(9)

• Generalized bounds for convex multistage stochastic programs.
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• Multistage stochastic programming: Error analysis for the convex case
• A scalable bounding method for multistage stochastic programs
• Generalized decision rule approximations for stochastic programming via liftings
• A Probabilistic Lower Bound for Two-Stage Stochastic Programs
• Bounds and approximations for multistage stochastic programs
• On complexity of multistage stochastic programs
• Parallel decomposition of large-scale stochastic nonlinear programs

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