Article ID: | iaor20103338 |
Volume: | 21 |
Issue: | 2 |
Start Page Number: | 89 |
End Page Number: | 109 |
Publication Date: | Apr 2010 |
Journal: | IMA Journal of Management Mathematics |
Authors: | Guerriero F |
Keywords: | minimax problem |
We consider multi-stage stochastic programs with incomplete knowledge of probability distributions of the underlying random variables. Specially, we assume that the only available input for the probability distribution is some qualitative information. We apply the minimax approach and develop an algorithm for multi-stage minimax stochastic programs with linear recourse. Results and possible applications are illustrated on numerical examples.