A new approach to multi-stage stochastic linear programs

  • Richard C. Grinold
Part of the Mathematical Programming Studies book series (MATHPROGRAMM, volume 6)


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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Copyright information

© The Mathematical Programming Society 1976

Authors and Affiliations

  • Richard C. Grinold
    • 1
  1. 1.University of CaliforniaBerkeleyUSA

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