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Dual Bounds for Periodical Stochastic Programs

Author

Listed:
  • Alexander Shapiro

    (School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205)

  • Yi Cheng

    (School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205)

Abstract

In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.

Suggested Citation

  • Alexander Shapiro & Yi Cheng, 2023. "Dual Bounds for Periodical Stochastic Programs," Operations Research, INFORMS, vol. 71(1), pages 120-128, January.
    • Handle: RePEc:inm:oropre:v:71:y:2023:i:1:p:120-128
    DOI: 10.1287/opre.2021.2245
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