Scenario Trees and Policy Selection for Multistage Stochastic Programming Using Machine Learning.
Boris DefournyDamien ErnstLouis WehenkelPublished in: INFORMS J. Comput. (2013)
Keyphrases
- stochastic programming
- multistage
- machine learning
- optimal policy
- chance constrained
- capacity planning
- dynamic programming
- asset liability management
- single stage
- production system
- linear program
- finite horizon
- lot sizing
- multistage stochastic
- data mining
- state space
- kernel methods
- support vector machine
- reinforcement learning
- markov decision process
- lot streaming
- decision making
- capacity expansion
- optimal solution
- search space
- average cost
- np hard
- model selection