Geodesic
Bound-based decision rules in multistage stochastic programming
Kybernetika, Tome 44 (2008) no. 2, pp. 134-150.

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

We study bounding approximations for a multistage stochastic program with expected value constraints. Two simpler approximate stochastic programs, which provide upper and lower bounds on the original problem, are obtained by replacing the original stochastic data process by finitely supported approximate processes. We model the original and approximate processes as dependent random vectors on a joint probability space. This probabilistic coupling allows us to transform the optimal solution of the upper bounding problem to a near-optimal decision rule for the original problem. Unlike the scenario tree based solutions of the bounding problems, the resulting decision rule is implementable in all decision stages, i.e., there is no need for dynamic reoptimization during the planning period. Our approach is illustrated with a mean-risk portfolio optimization model.
Classification : 90C15, 91B28
Keywords: stochastic programming; bounds; decision rules; expected value constraints; portfolio optimization 
@article{KYB_2008__44_2_a1,
     author = {Kuhn, Daniel and Parpas, Panos and Rustem, Ber\c{c}},
     title = {Bound-based decision rules in multistage stochastic programming},
     journal = {Kybernetika},
     pages = {134--150},
     publisher = {mathdoc},
     volume = {44},
     number = {2},
     year = {2008},
     mrnumber = {2428216},
     zbl = {1154.90558},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a1/}
}
TY  - JOUR
AU  - Kuhn, Daniel
AU  - Parpas, Panos
AU  - Rustem, Berç
TI  - Bound-based decision rules in multistage stochastic programming
JO  - Kybernetika
PY  - 2008
SP  - 134
EP  - 150
VL  - 44
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a1/
LA  - en
ID  - KYB_2008__44_2_a1
ER  - 
%0 Journal Article
%A Kuhn, Daniel
%A Parpas, Panos
%A Rustem, Berç
%T Bound-based decision rules in multistage stochastic programming
%J Kybernetika
%D 2008
%P 134-150
%V 44
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a1/
%G en
%F KYB_2008__44_2_a1
Kuhn, Daniel; Parpas, Panos; Rustem, Berç. Bound-based decision rules in multistage stochastic programming. Kybernetika, Tome 44 (2008) no. 2, pp. 134-150. http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a1/