Information input for multi-stage stochastic programs

Information input for multi-stage stochastic programs

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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:
Keywords: minimax problem
Abstract:

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.

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