# A new approach to multi-stage stochastic linear programs

Optimization

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## Abstract

This paper considers an infinite stage linear decision problem with random coefficients. We assume that the randomness can be defined by a finite Markov chain. Under certain assumptions we are able to calculate an upper bound for the optimal value of the decision problem and to use that bound to determine a useful initial decision.

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## References

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## Copyright information

© The Mathematical Programming Society 1976