Time-inconsistent multistage stochastic programs: Martingale bounds.

Georg Ch. Pflug Alois Pichler

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

multistage
single stage
production system
stochastic programming
upper bound
lower bound
lot sizing
dynamic programming
change detection
lower and upper bounds
stochastic optimization
optimal policy
lot streaming
finite horizon
worst case
capacity expansion
multistage stochastic