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Mathematical Programming

, Volume 116, Issue 1–2, pp 461–479 | Cite as

Epi-convergent discretizations of multistage stochastic programs via integration quadratures

  • Teemu Pennanen
FULL LENGTH PAPER

Abstract

This paper presents procedures for constructing numerically solvable discretizations of multistage stochastic programs that epi-converge to the original problem as the discretizations are made finer. Epi-convergence implies, in particular, that the cluster points of the first-stage solutions of the discretized problems are optimal first-stage solutions of the original problem. The discretization procedures apply to a general class of nonlinear stochastic programs where the uncertain factors are driven by time series models. Using existing routines for numerical integration allows for an easy and efficient implementation of the procedures.

Keywords

Stochastic programming Discretization Epi-convergence Quadrature 

Mathematics Subject Classification (2000)

90C15 49M25 90C25 

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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  1. 1.Department of Business TechnologyHelsinki School of EconomicsHelsinkiFinland

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