Infinite Horizon Stochastic Programs
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Publication:3767127
DOI10.1137/0324075zbMath0629.90064OpenAlexW1993552239MaRDI QIDQ3767127
Publication date: 1986
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0324075
convergenceMarkov chainlinear constraintsconvex stochastic problemdiscrete time infinite horizon stochastic programsequence of solvable finite horizon problemssum of discounted expected costs
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Robust optimization in countably infinite linear programs ⋮ Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning ⋮ Duality for extended infinite monotropic optimization problems ⋮ Testing the structure of multistage stochastic programs ⋮ Inverse optimization in countably infinite linear programs ⋮ Horizon and stages in applications of stochastic programming in finance ⋮ Duality for Optimization Problems with Infinite Sums ⋮ Applications of stochastic programming: Achievements and questions ⋮ A Simplex Method for Countably Infinite Linear Programs
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