Tree Approximations of Dynamic Stochastic Programs

Radoslava Mirkov · Georg Ch. Pflug

33 citations0/0 files storedSIAM Journal on Optimization

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Risk and Portfolio Optimization Advanced Control Systems Optimization Advanced Optimization Algorithms Research

Abstract

We consider a tree-based discretization technique utilizing conditional transportation distance, which is well suited for the approximation of multistage stochastic programming problems, and investigate corresponding convergence properties. We explain the relation between the approximation quality of the probability model and the quality of the solution.

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1999Coherent Measures of Risk 1992Production and Operations Analysis 2001Scenario tree generation for multiperiod financial optimization by optimal discretization 1996Optimization of Stochastic Models 1998Optimization of Stochastic Models: The Interface Between Simulation and Optimization 2001Conditional Value-at-Risk: Optimization Approach 2006Financial scenario generation for stochastic multi-stage decision processes as facility location problems 2006Stability of Multistage Stochastic Programs

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