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

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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 
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     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/}
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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/