A fixed topology of stages and/or a fixed branching scheme are common assumptions for applications and numerical solution of scenario based multistage stochastic programs. Using contamination technique to test this structure, we extend the results of Dupačová (Contamination for multistage stochastic programs. In: Hušková M, Janžura M (eds) Prague stochastics. Matfyzpress, Praha, pp 91–101, 2006a) to stochastic programs with multistage polyhedral risk objectives. The ideas are exemplified by bond portfolio management problems and complemented by illustrative numerical results.

(2009). Testing the structure of multistage stochastic programs [journal article - articolo]. In COMPUTATIONAL MANAGEMENT SCIENCE. Retrieved from http://hdl.handle.net/10446/23103

Testing the structure of multistage stochastic programs

BERTOCCHI, Maria;MORIGGIA, Vittorio
2009-01-01

Abstract

A fixed topology of stages and/or a fixed branching scheme are common assumptions for applications and numerical solution of scenario based multistage stochastic programs. Using contamination technique to test this structure, we extend the results of Dupačová (Contamination for multistage stochastic programs. In: Hušková M, Janžura M (eds) Prague stochastics. Matfyzpress, Praha, pp 91–101, 2006a) to stochastic programs with multistage polyhedral risk objectives. The ideas are exemplified by bond portfolio management problems and complemented by illustrative numerical results.
journal article - articolo
2009
Dupacova, Jitka; Bertocchi, Maria; Moriggia, Vittorio
(2009). Testing the structure of multistage stochastic programs [journal article - articolo]. In COMPUTATIONAL MANAGEMENT SCIENCE. Retrieved from http://hdl.handle.net/10446/23103
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/23103
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