Version-Independence and Nested Distributions in Multistage Stochastic Optimization.

Georg Ch. Pflug

Published in: SIAM J. Optim. (2009)

Keyphrases

multistage
stochastic optimization
production system
stochastic programming
dynamic programming
single stage
probability distribution
lot sizing
dependence structure
optimal policy
random variables
finite horizon
multistage stochastic
data mining
graphical models
state space
decision making