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A multistage stochastic programming approach for capital budgeting problems under uncertainty

✍ Scribed by Beraldi, P.; Violi, A.; De Simone, F.; Costabile, M.; Massabo, I.; Russo, E.

Book ID
118254578
Publisher
Oxford University Press
Year
2012
Tongue
English
Weight
895 KB
Volume
24
Category
Article
ISSN
1471-678X

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Stochastic programming with step decision rules (SPSDR) aims to produce efficient solutions to multistage stochastic optimization problems. SPSDR, like plain multistage Stochastic Programming (SP), operates on a Monte Carlo "computing sample" of moderate size that approximates the stochastic process