Recent Advances in Reinforcement Learning
Reinforcement learning versus model predictive control: a comparison on a power system problem
IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics
Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization
ADT '09 Proceedings of the 1st International Conference on Algorithmic Decision Theory
Version-Independence and Nested Distributions in Multistage Stochastic Optimization
SIAM Journal on Optimization
Evolutionary multi-stage financial scenario tree generation
EvoCOMNET'10 Proceedings of the 2010 international conference on Applications of Evolutionary Computation - Volume Part II
A note on scenario reduction for two-stage stochastic programs
Operations Research Letters
A Distance For Multistage Stochastic Optimization Models
SIAM Journal on Optimization
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Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an $L_{r}$-distance and of a distance measure for the filtrations of the original and approximate stochastic (input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussed.