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Multistage Stochastic Programs

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

Abstract

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.

Keywords

Basic Feasible Solution Shaped Method Multistage Problem Multistage Stochastic Program Recourse Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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