Geodesic
On approximation in multistage stochastic programs: Markov dependence
Kybernetika, Tome 40 (2004) no. 5, p. [625]

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.
Classification : 60K30, 90C15, 90C59
Keywords: multistage stochastic programming problem; approximation solution scheme; deterministic approximation; empirical estimate; Markov dependence 
@article{KYB_2004__40_5_a7,
     author = {Ka\v{n}kov\'a, Vlasta and \v{S}m{\'\i}d, Martin},
     title = {On approximation in multistage stochastic programs: {Markov} dependence},
     journal = {Kybernetika},
     pages = {[625]},
     publisher = {mathdoc},
     volume = {40},
     number = {5},
     year = {2004},
     mrnumber = {2121001},
     zbl = {1249.90183},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2004__40_5_a7/}
}
TY  - JOUR
AU  - Kaňková, Vlasta
AU  - Šmíd, Martin
TI  - On approximation in multistage stochastic programs: Markov dependence
JO  - Kybernetika
PY  - 2004
SP  - [625]
VL  - 40
IS  - 5
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2004__40_5_a7/
LA  - en
ID  - KYB_2004__40_5_a7
ER  - 
%0 Journal Article
%A Kaňková, Vlasta
%A Šmíd, Martin
%T On approximation in multistage stochastic programs: Markov dependence
%J Kybernetika
%D 2004
%P [625]
%V 40
%N 5
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2004__40_5_a7/
%G en
%F KYB_2004__40_5_a7
Kaňková, Vlasta; Šmíd, Martin. On approximation in multistage stochastic programs: Markov dependence. Kybernetika, Tome 40 (2004) no. 5, p. [625]. http://geodesic.mathdoc.fr/item/KYB_2004__40_5_a7/