Abstract
The purpose of this paper is to present general approaches for bounding some multi-stage stochastic programs from above. The results are based on restricting the solution set, such that the remaining multi-stage stochastic program is easy to solve. An example where the methods can be applied is presented.
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Supported in part by NATO Collaborative Research Grant No. 0785/87.
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Wallace, S.W., Yan, T. Bounding multi-stage stochastic programs from above. Mathematical Programming 61, 111–129 (1993). https://doi.org/10.1007/BF01582142
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DOI: https://doi.org/10.1007/BF01582142