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A remark on the analysis of multistage stochastic programs: Markov dependence. (English) Zbl 1028.90031
Summary: Multistage stochastic programming problems can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Employing this dependence we analyse the relationship between one-stage and multistage stochastic programming problems. Furthermore, we introduce some stability and empirical estimates results in the special case of stochastic dependence.

MSC:
90C15 Stochastic programming
90C31 Sensitivity, stability, parametric optimization
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