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Tree approximations of dynamic stochastic programs. (English) Zbl 1211.90150

Summary: We consider a tree-based discretization technique utilizing conditional transportation distance, which is well suited for the approximation of multistage stochastic programming problems, and investigate corresponding convergence properties. We explain the relation between the approximation quality of the probability model and the quality of the solution.

MSC:

90C15 Stochastic programming
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