Generalized Bounds for Convex Multistage Stochastic Programs

By D. Kühn. 2004

73 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/18d0ee8f8373e73a61725169519abdd55a39b116

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In Management Science and Operations Research

1. Louis Wehenkel
2. Damien Ernst
3. Shabbir Ahmed
4. Boris Defourny
5. Jikai Zou
6. Xu Andy Sun
7. Yongpei Guan

Citations in the corpus

• Stochastic dual dynamic integer programming (2018, methodology): “Such an approximation may be constructed by Monte Carlo methods as in the sample average approximation (SAA) approach or various other constructive methods [40,44,48,64,67,78].”
• Multistage Stochastic Programming: A Scenario Tree Based Approach to Planning under Uncertainty (2011, methodology): “We can also mention methods that come with approximation guarantees, such as bounds on the suboptimality of the approximation (Kuhn, 2005).”
• Scenario tree modeling for multistage stochastic programs (2009, unknown): “, [2,13,28]), (2) Monte Carlo-based schemes [3,44,45], (3) Quasi Monte Carlo-based discretization methods [30,31], (4) EVPI-based sampling and reduction within decomposition schemes [4,5,23], (5) the moment-matching principle [25–27], (6) probability metric based approximations [16,17,24,32].”