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System Modelling and Optimization pp 332–341Cite as

Stochastic dynamic optimization: Modelling and methodological aspects

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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 197))

Abstract

We consider two important problem classes within stochastic dynamic optimization: the stochastic multistage recourse problem with stochastic dependent random vectors and the discrete control problem with Markovian structure and with full state information. We apply barycentric approximation schemes and discuss the corresponding approximate problems.

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Authors and Affiliations

  1. Institute for Operations Research, University of St. Gallen, Bodanstr. 6, CH-9000, St. Gallen

    K. Frauendorfer

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  1. K. Frauendorfer
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Jacques Henry Jean-Pierre Yvon

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© 1994 Springer-Verlag

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Frauendorfer, K. (1994). Stochastic dynamic optimization: Modelling and methodological aspects. In: Henry, J., Yvon, JP. (eds) System Modelling and Optimization. Lecture Notes in Control and Information Sciences, vol 197. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0035482

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  • DOI: https://doi.org/10.1007/BFb0035482

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-19893-2

  • Online ISBN: 978-3-540-39337-5

  • eBook Packages: Springer Book Archive

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