Bounds in multistage linear stochastic programming

DOI10.1007/s10957-013-0450-1zbMath1330.90062OpenAlexW1976667494MaRDI QIDQ467481

Elisabetta Allevi, Francesca Maggioni, Marida Bertocchi

Publication date: 3 November 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0450-1

zbMATH Keywords

multistage stochastic programmingvalue of stochastic solutionexpected value problemskeleton solution

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (26)

On the number of stages in multistage stochastic programs ⋮ Bounds in multi-horizon stochastic programs ⋮ A stochastic programming model for a tactical solid waste management problem ⋮ A rolling horizon approach for a multi-stage stochastic fixed-charge transportation problem with transshipment ⋮ Quantification of risk in classical models of finance ⋮ The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems ⋮ An effective heuristic for multistage linear programming with a stochastic right-hand side ⋮ A Scalable Bounding Method for Multistage Stochastic Programs ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Mitigating the COVID‐19 pandemic through data‐driven resource sharing ⋮ Exact Quantization of Multistage Stochastic Linear Problems ⋮ Bounds for Multistage Mixed-Integer Distributionally Robust Optimization ⋮ On air traffic flow management with rerouting. II: Stochastic case ⋮ Unnamed Item ⋮ Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs ⋮ Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs ⋮ Two-stage stochastic modeling of transportation outsourcing plans for transshipment centers ⋮ The value of the right distribution in stochastic programming with application to a Newsvendor problem ⋮ A multistage stochastic programming approach for preventive maintenance scheduling of GENCOs with natural gas contract ⋮ A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches ⋮ Bounds and Approximations for Multistage Stochastic Programs ⋮ A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania ⋮ Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs ⋮ Two-stage stochastic standard quadratic optimization

Cites Work

• Stochastic programming approach to optimization under uncertainty
• Models for planning capacity expansion of convenience stores under uncertain demand and the value of information
• A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants
• Analyzing the quality of the expected value solution in stochastic programming
• Stochastic optimization models for a single-sink transportation problem
• Measuring risk for income streams
• The value of the stochastic solution in multistage problems
• Inequalities for Stochastic Linear Programming Problems
• Introduction to Stochastic Programming
• Bounds on the value of information in uncertain decision problems II
• The Value of Multistage Stochastic Programming in Capacity Planning Under Uncertainty
• Lectures on Stochastic Programming
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Stochastic Programming with Recourse: A Modification from an Applications Viewpoint
• The Value of Information and Stochastic Programming
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bounds in multistage linear stochastic programming