Numerical evaluation of approximation methods in stochastic programming

DOI10.1080/02331931003700756MaRDI QIDQ3577838zbMATH OpenOpenAlexFDO

Authors Christian Küchler, Stefan Vigerske

Publication date 26 July 2010

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331931003700756

zbMATH Keywords

multistage stochastic programmingout-of-sample evaluationscenario tree

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Stochastic programming (90C15) Dynamic programming (90C39) Approximation methods and heuristics in mathematical programming (90C59)

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Cites work

• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Generating scenario trees for multistage decision problems
• On Stability of Multistage Stochastic Programs
• Scenario reduction in stochastic programming
• Scenario reduction in stochastic programming with respect to discrepancy distances
• Scenario tree modeling for multistage stochastic programs
• Stability of Multistage Stochastic Programs
• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
• Tree Approximations of Dynamic Stochastic Programs

Cited in

(7)

• A computational evaluation of optimal solution value estimation procedures
• A numerical method for solving stochastic programming problems with moment constraints on a distribution function
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Numerical validation of compensated algorithms with stochastic arithmetic
• Solving multistage asset investment problems by the sample average approximation method
• scientific article; zbMATH DE number 4204117 (Why is no real title available?)
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies

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