Numerical study of discretizations of multistage stochastic programs

MaRDI QIDQ3604334zbMATH OpenFDO

Authors Petri Hilli, Teemu Pennanen

Publication date 24 February 2009

Full work available at URL https://eudml.org/doc/33921, http://www.kybernetika.cz/content/2008/2/185

zbMATH Keywords

discretizationintegration quadraturessimulationstochastic programming

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Stochastic programming (90C15) Convex programming (90C25)

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Cited in

(11)

• The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
• Solving sequences of refined multistage stochastic linear programs
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Aggregation and discretization in multistage stochastic programming
• Numerical techniques in applied multistage stochastic programming
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• Hedging of long term zero-coupon bonds in a market model with reinvestment risk
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Dynamic generation of scenario trees
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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Uses Software

• AMPL

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