A remark on the analysis of multistage stochastic programs: Markov dependence. (English) Zbl 1028.90031

Kaňková, V.

ZAMM, Z. Angew. Math. Mech. 82, No. 11-12, 781-793 (2002).

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

Keywords:

multistage stochastic programming problems; stability; estimation; Markov dependence; autoregressive sequences