Barycentric scenario trees in convex multistage stochastic programming

DOI10.1007/BF02592156MaRDI QIDQ1363430zbMATH OpenOpenAlexFDO

Authors Karl Frauendorfer

Publication date 7 August 1997

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

Full work available at URL https://doi.org/10.1007/bf02592156

zbMATH Keywords

approximation of convex stochastic multistage programssequential stochastic decision process

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cited in

(26)

• Multistage stochastic convex programs: duality and its implications
• Stability and scenario trees for multistage stochastic programs
• On the safe side of stochastic programming: bounds and approximations
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• A scalable bounding method for multistage stochastic programs
• A stability result for linear Markovian stochastic optimization problems
• scientific article; zbMATH DE number 7733446 (Why is no real title available?)
• Optimal capacity allocation in multi-auction electricity markets under uncertainty
• Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• Management of non-maturing deposits by multistage stochastic programming
• An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees
• Aggregation and discretization in multistage stochastic programming
• Generalized decision rule approximations for stochastic programming via liftings
• Tree Approximations of Dynamic Stochastic Programs
• Numerical study of discretizations of multistage stochastic programs
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• On the scenario-tree optimal-value error for stochastic programming problems
• Optimal annuity portfolio under inflation risk
• scientific article; zbMATH DE number 1187213 (Why is no real title available?)
• Scenario tree modeling for multistage stochastic programs
• Convergent bounds for stochastic programs with expected value constraints
• Bound-based decision rules in multistage stochastic programming
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures

Describes a project that uses

Uses Software

• MSLiP

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