Bounding multi-stage stochastic programs from above

DOI10.1007/BF01582142zbMATH Open0783.90092MaRDI QIDQ689156FDOQ689156

Authors: Stein W. Wallace, Tiecheng Yan 

Publication date: 6 December 1993

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

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zbMATH Keywords

upper boundmulti-stage stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
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• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
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• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Multistage Stochastic Programming with Recourse: The Equivalent Deterministic Problem
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• Solving stochastic programs with simple recourse
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• Title not available (Why is that?)
• A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
• When Is a Multistage Stochastic Programming Problem Well-Defined?

Cited In (7)

• Generalized bounds for convex multistage stochastic programs.
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• Multistage stochastic programming: Error analysis for the convex case
• Generalized decision rule approximations for stochastic programming via liftings
• A Probabilistic Lower Bound for Two-Stage Stochastic Programs
• On complexity of multistage stochastic programs
• Parallel decomposition of large-scale stochastic nonlinear programs

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