On approximation in multistage stochastic programs: Markov dependence

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SYSNO ASEP	0106451
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	On approximation in multistage stochastic programs: Markov dependence
Title	Aproximace v úlohách vícestupňového stochastického programování
Author(s)	Kaňková, Vlasta (UTIA-B)_RID Šmíd, Martin (UTIA-B)_{RID, ORCID}
Source Title	Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954 Roč. 40, č. 5 (2004), s. 625-638
Number of pages	14 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	multistage stochastic programming problems ; approximate solution scheme ; Markov dpendence
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	GA402/01/0539 GA ČR - Czech Science Foundation (CSF)
	GA402/02/1015 GA ČR - Czech Science Foundation (CSF)
	GA402/04/1294 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z1075907 - UTIA-B
Annotation	A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2005

Number of the records: 1