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Epi-convergent discretizations of multistage stochastic programs via integration quadratures
16 references·3 citing·35 second hop
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  • 2010Stochastic Programming2,228 cited
  • 2003Scenario reduction in stochastic programming1,045 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited
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  • 1976Nonanticipativity and L 1-martingales in stochastic optimization problems

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154 cited

Cited by

  • 2011Multistage Stochastic Programming59 cited
  • 2018Two-stage linear decision rules for multi-stage stochastic programming44 cited
  • 2015Optimal scenario reduction framework based on distance of uncertainty distribution and output performance: II. Sequential reduction36 cited