Epi-convergent discretizations of multistage stochastic programs via integration quadratures

DOI10.1007/s10107-007-0113-9zbMath1165.90014OpenAlexW2102391236MaRDI QIDQ959951

Teemu Pennanen

Publication date: 16 December 2008

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

Full work available at URL: https://doi.org/10.1007/s10107-007-0113-9

zbMATH Keywords

discretizationstochastic programmingepi-convergencequadrature

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Discrete approximations in optimal control (49M25)

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Uses Software

• EVPI

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