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.
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© 2011 Springer Science+Business Media, LLC
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Birge, J.R., Louveaux, F. (2011). Multistage Stochastic Programs. In: Introduction to Stochastic Programming. Springer Series in Operations Research and Financial Engineering. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-0237-4_6
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DOI: https://doi.org/10.1007/978-1-4614-0237-4_6
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Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4614-0236-7
Online ISBN: 978-1-4614-0237-4
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