Abstract
A sequential statistical decision model for stochastic linear programs with estimable unknown parameter is introduced. It is shown that a minimax rule exists and that value iteration is possible under continuity and compactness assumptions.
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References
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© 1980 Springer-Verlag Berlin Heidelberg
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Heilmann, WR. (1980). A Note on Sequential Minimax Rules for Stochastic Linear Programs. In: Kall, P., Prékopa, A. (eds) Recent Results in Stochastic Programming. Lecture Notes in Economics and Mathematical Systems, vol 179. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51572-9_5
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DOI: https://doi.org/10.1007/978-3-642-51572-9_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-10013-3
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