Generalized Bounds for Convex Multistage Stochastic Programs
Publication year: 2005
ISBN: 978-3-540-26901-4
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The auther was involved in several industry projects in the field of power management, on the occasion of which I was repeatedly c- fronted with complex decision problems under uncertainty. Although usually hard to solve, I quickly learned to appreciate the benefit of stochastic progr- ming models and developed a strong interest in their theoretical properties. Motivated both by practical questions and theoretical concerns, I became p- ticularly interested in the art of finding tight bounds on the optimal value of a given model. The present work attempts to make a contribution to this important branch of stochastic optimization theory. In particular, it aims at extending some classical bounding methods to broader problem classes of practical relevance.
Subject: Business and Economics, Approximation Technique, Convex Multistage Stochastic Program, Nonconvexities, Numerical Solution, Regularization, Stochastic Optimization, Stochastic Processes, Stochastic Programming
