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Comparison of Multistage Stochastic Programs with Recourse and Stochastic Dynamic Programs with Discrete Time
Author(s) -
Dupačová J.,
Sladký K.
Publication year - 2002
Publication title -
zamm ‐ journal of applied mathematics and mechanics / zeitschrift für angewandte mathematik und mechanik
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 51
eISSN - 1521-4001
pISSN - 0044-2267
DOI - 10.1002/1521-4001(200211)82:11/12<753::aid-zamm753>3.0.co;2-5
Subject(s) - discrete time and continuous time , computer science , dynamic programming , stochastic programming , mathematical optimization , mathematics , algorithm , statistics
When solving a dynamic decision problem under uncertainty it is essential to choose or to build a suitable model taking into account the nature of the real‐life problem, character of input data, availability of software, and computer technology. The purpose of this paper is to discuss similarities and differences of two candidate approaches connected with discrete time decision processes and with uncertainties of probabilistic nature.