Bounds and Approximations for Multistage Stochastic Programs.

Francesca Maggioni Georg Ch. Pflug

Published in: SIAM J. Optim. (2016)

Keyphrases

multistage
approximation methods
production system
upper bound
dynamic programming
lot sizing
lower bound
closed form expressions
stochastic programming
single stage
variance reduction
worst case
stage stochastic programs
linear functions
multistage stochastic
stochastic optimization
lower and upper bounds