Multistage stochastic decision problems: Approximation by recursive structures and ambiguity modeling.
Georg Ch. PflugPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- evolutionary algorithm
- decision problems
- multistage stochastic
- influence diagrams
- decision model
- optimal policy
- utility function
- np hard
- linear program
- optimal strategy
- approximation algorithms
- portfolio selection
- computational complexity
- multistage
- integer program
- non stationary
- expected utility
- cutting plane
- bandit problems