Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
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Abstract: We introduce the class of multistage stochastic optimization problems with a random number of stages. For such problems, we show how to write dynamic programming equations and detail the Stochastic Dual Dynamic Programming algorithm to solve these equations. Finally, we consider a portfolio selection problem over an optimization period of random duration. For several instances of this problem, we show the gain obtained using a policy that takes the random duration of the number of stages into account over a policy built taking a fixed number of stages (namely the maximal possible number of stages).
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Cited in
(5)- The value and cost of more stages in stochastic programming: a statistical analysis on a set of portfolio choice problems
- Periodical multistage stochastic programs
- Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
- Stochastic dual dynamic programming and its variants: a review
- Multistage stochastic programming with a random number of stages: applications in hurricane disaster relief logistics planning
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