Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems

DOI10.1007/S00186-012-0423-4MaRDI QIDQ2392810zbMATH OpenOpenAlexFDO

Authors Gauthier de Maere d'Aertrycke, Alexander Shapiro, Yves Smeers

Publication date 2 August 2013

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-012-0423-4

zbMATH Keywords

Lagrange multipliersdual variablesstochastic capacity expansion problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• Analysis of stochastic dual dynamic programming method
• Duality for Stochastic Programming Interpreted as L. P. in $L_p $-Space
• Inference of statistical bounds for multistage stochastic programming problems
• Lectures on Stochastic Programming
• Multi-stage stochastic optimization applied to energy planning
• On complexity of multistage stochastic programs
• On the convergence of stochastic dual dynamic programming and related methods
• Stochastic convex programming: basic duality
• Stochastic equilibrium models for generation capacity expansion

Cited in

(1)

• Two-stage linear decision rules for multi-stage stochastic programming

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