Comparison of multistage stochastic programs with recourse and stochastic dynamic programs with discrete time

0410858 - UTIA-B 20020072 RIV DE eng J - Článek v odborném periodiku
Dupačová, J. - Sladký, Karel
Comparison of multistage stochastic programs with recourse and stochastic dynamic programs with discrete time.
ZAMM-Zeitschrift fur Angewandte Mathematik und Mechanik. Roč. 82, 11/12 (2002), s. 753-765. ISSN 0044-2267. E-ISSN 1521-4001
Grant CEP: GA ČR GA201/99/0264; GA ČR GA402/99/1136; GA MŠMT 113200008
Výzkumný záměr: CEZ:AV0Z1075907
Klíčová slova: multistage stochastic programs with recourse * dynamic programming * Markov decision processes
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
Impakt faktor: 0.085, rok: 2002

When solving a dynamic decision problem under uncertainty it is essential to choose or to build a suitable model taking into account the nature of the real-life problem, character of input data, availability of software and computer technology. The purpose of this paper is to discuss similarities and differences of two candidate approaches connected with discrete time decision processes and with uncertainties of probabilistic nature.
Trvalý link: http://hdl.handle.net/11104/0130945