Multistage Stochastic Programs
As the Chapter 1 examples demonstrate, many operational and planning problems involve sequences of decisions over time. The decisions can respond to realizations of outcomes that are not known a priori. The resulting model for optimal decision making is then a multistage stochastic program. In Section 3.4,we gave some of the basic properties of multistage problems. In this chapter, we explore the variety of solution procedures that have been proposed specifically for multistage stochastic programs.
KeywordsBasic Feasible Solution Shaped Method Multistage Problem Multistage Stochastic Program Recourse Function
Unable to display preview. Download preview PDF.