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.
KeywordsCall Option Scenario Tree Approximate Dynamic Programming Multistage Approximation Multistage Problem
Unable to display preview. Download preview PDF.