Tree Approximations of Dynamic Stochastic Programs

Tree Approximations of Dynamic Stochastic Programs
复制标题

动态随机规划的树近似

DOI：
10.1137/060658552
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发表时间：
2008
期刊：
SIAM J. Optim.
影响因子：
--
通讯作者：
G. Pflug
G. Pflug
中科院分区：
--
文献类型：
--
作者：
Radoslava Mirkov;G. Pflug

文献摘要

被引文献

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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.