Tree Approximations of Dynamic Stochastic Programs

Authors:
Radoslava Mirkov;Georg Ch. Pflug
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
2007

Citing 0
Cited 2

Energy efficient state estimation with wireless sensors through the use of predictive power control and coding

IEEE Transactions on Signal Processing
Version-Independence and Nested Distributions in Multistage Stochastic Optimization

SIAM Journal on Optimization

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Abstract

We consider a tree-based discretization technique utilizing conditional transportation distance, which is well suited for the approximation of multistage stochastic programming problems, and investigate corresponding convergence properties. We explain the relation between the approximation quality of the probability model and the quality of the solution.