Barycentric scenario trees in convex multistage stochastic programming

DOI10.1007/BF02592156zbMATH Open0874.90144OpenAlexW1977380350MaRDI QIDQ1363430FDOQ1363430

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

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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)

Cites Work

• MSLiP: A computer code for the multistage stochastic linear programming problem
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Cited In (23)

• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• Scenario tree modeling for multistage stochastic programs
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Management of non-maturing deposits by multistage stochastic programming
• Optimal annuity portfolio under inflation risk
• On the safe side of stochastic programming: bounds and approximations
• An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees
• Generalized decision rule approximations for stochastic programming via liftings
• Multistage stochastic convex programs: duality and its implications
• A stability result for linear Markovian stochastic optimization problems
• Aggregation and discretization in multistage stochastic programming
• Convergent bounds for stochastic programs with expected value constraints
• Tree Approximations of Dynamic Stochastic Programs
• Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Title not available (Why is that?)
• Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management
• A Scalable Bounding Method for Multistage Stochastic Programs
• Numerical study of discretizations of multistage stochastic programs
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Optimal capacity allocation in multi-auction electricity markets under uncertainty
• Bound-based decision rules in multistage stochastic programming

Uses Software

• MSLiP

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