Non-parametric approximation of non-anticipativity constraints in scenario-based multistage stochastic programming
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Publication:3604333
zbMATH Open1154.90560MaRDI QIDQ3604333FDOQ3604333
Authors:
Publication date: 24 February 2009
Full work available at URL: https://eudml.org/doc/33920
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Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15) Discrete approximations in optimal control (49M25)
Cites Work
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- Scenario tree modeling for multistage stochastic programs
- On the almost everywhere convergence of nonparametric regression function estimates
- THE PARTITION OF UNITY METHOD
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Consistent window estimation in nonparametric regression
- Distribution-free consistency results in nonparametric discrimination and regression function estimation
Cited In (4)
- Non-anticipative strategies in guarantee optimization problems under functional constraints on disturbances
- Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
- Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
- Nonanticipativity in stochastic programming
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