A remark on the analysis of multistage stochastic programs: Markov depedence

0410932 - UTIA-B 20020146 RIV DE eng J - Journal Article
Kaňková, Vlasta
A remark on the analysis of multistage stochastic programs: Markov depedence.
ZAMM-Zeitschrift fur Angewandte Mathematik und Mechanik. Roč. 82, 11/12 (2002), s. 781-793. ISSN 0044-2267. E-ISSN 1521-4001
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/99/1136
Grant - others:Deutsche Foshugsgemeinschaft(DE) 436TSE113/40
Institutional research plan: CEZ:AV0Z1075907
Keywords : multistage stochastic programs * Markov depedence * stability and estimates
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.085, year: 2002

Multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of depedence. Employing this depedence we analyse the relationschip between one and multistage stochastic programming problems. Furthermore, we introduce some stability and empirical estimates results in the special case of the stochastic depedence.
Permanent Link: http://hdl.handle.net/11104/0131019