An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

DOI10.1287/moor.1080.0369zbMath1218.90144OpenAlexW2040617060MaRDI QIDQ3169043

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

stochastic optimizationstochastic controlboundstime discretizationstage aggregation

Mathematics Subject Classification ID

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

Related Items (4)

Primal and dual linear decision rules in stochastic and robust optimization ⋮ Decision-dependent probabilities in stochastic programs with recourse ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ Bounds and Approximations for Multistage Stochastic Programs

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