Numerical study of discretizations of multistage stochastic programs
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Publication:3604334
zbMATH Open1154.90556MaRDI QIDQ3604334FDOQ3604334
Authors: Petri Hilli, Teemu Pennanen 
Publication date: 24 February 2009
Full work available at URL: https://eudml.org/doc/33921
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Convex programming (90C25) Stochastic programming (90C15) Discrete approximations in optimal control (49M25)
Cites Work
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Cited In (11)
- Epi-Convergent Discretizations of Multistage Stochastic Programs
- Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
- Solving sequences of refined multistage stochastic linear programs
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Numerical techniques in applied multistage stochastic programming
- Aggregation and discretization in multistage stochastic programming
- Epi-convergent discretizations of stochastic programs via integration quadratures
- The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
- Dynamic generation of scenario trees
- Hedging of long term zero-coupon bonds in a market model with reinvestment risk
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
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