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Multistage Stochastic Programming Problems; Stability and Approximation

In: Operations Research Proceedings 2006

Author

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  • Vlasta Kanková

    (Academy of Sciences of the Czech Republic)

Abstract

A multistage stochastic programming problem can be introduced as a finite system of parametric one-stage optimization problems with an inner type of dependence and mathematical (mostly conditional) expectation in objective functions of the individual problems (for more details see e.g. [1], [3], [8]). The constraints sets can depend on the “underlying” probability measure.

Suggested Citation

  • Vlasta Kanková, 2007. "Multistage Stochastic Programming Problems; Stability and Approximation," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 595-600, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_94
    DOI: 10.1007/978-3-540-69995-8_94
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