Multistage Approximations

  • John R. BirgeEmail author
  • François Louveaux
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)


Most decision problems involve effects that carry over from one time to another. Sometimes, as in the power expansion problem of Section 1.3, random effects can be confined to a single period so that recourse is block separable. In other cases, however, this separation is not possible. For example, power may be stored by pumping water into the reservoir of a hydroelectric station when demand is low. In this way, decisions in one period are influenced by decisions in previous periods.


Call Option Scenario Tree Approximate Dynamic Programming Multistage Approximation Multistage Problem 
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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Booth School of BusinessUniversity of ChicagoChicagoUSA
  2. 2.Department of Business AdministrationUniversity of NamurNamurBelgium

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