Adaptive discretization of convex multistage stochastic programs.

Stefan Vigerske Ivo Nowak

Published in: Math. Methods Oper. Res. (2007)

Keyphrases

multistage
single stage
stochastic optimization
dynamic programming
production system
stochastic programming
lot sizing
optimal policy
sufficient conditions
production line
discrete space
data mining
markov decision processes
convex hull
lot streaming