Multistage stochastic decision problems: Approximation by recursive structures and ambiguity modeling

Titel in Übersetzung: Mehrstufige stochastische Optimierung: Approximation durch rekursive Strukturen und Ambiguity Modellierung

Veröffentlichungen: Beitrag in FachzeitschriftArtikelPeer Reviewed

Abstract

Stochastic multistage decision problems appear in many - if not all - application areas of Operations Research. While to define such problems is easy, to solve them is quite difficult, since they are of infinite dimension. Numerical solution can only be found by solving an approximate, easier problem. In this paper, we show good approximations can be found, where we emphasize the recursive structure of the involved algorithms and data structures. In a second part, the problem of coping with the model error of approximations is discussed. We present algorithms for finding distributionally robust solutions for the model error problem. We also review some application cases of such situations from the literature.

Titel in ÜbersetzungMehrstufige stochastische Optimierung: Approximation durch rekursive Strukturen und Ambiguity Modellierung
OriginalspracheEnglisch
Seiten (von - bis)1027-1039
Seitenumfang13
FachzeitschriftEuropean Journal of Operational Research
Jahrgang306
Ausgabenummer3
Frühes Online-Datum8 Apr. 2022
DOIs
PublikationsstatusVeröffentlicht - 1 Mai 2023

ÖFOS 2012

  • 101016 Optimierung
  • 101015 Operations Research
  • 101019 Stochastik

Zitationsweisen