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A Remark on the Analysis of Multistage Stochastic Programs: Markov Dependence
Author(s) -
Kaňková V.
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<781::aid-zamm781>3.0.co;2-1
Subject(s) - stochastic programming , mathematical optimization , markov chain , stability (learning theory) , stochastic optimization , parametric statistics , computer science , markov process , mathematics , linear programming , statistics , machine learning
Multistage stochastic programming problems can be introduced as a finite system of parametric (one‐stage) optimization problems with an inner type of dependence. Employing this dependence we analyse the relationship between one‐stage and multistage stochastic programming problems. Furthermore, we introduce some stability and empirical estimates results in the special case of stochastic dependence.