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Stochastic Optimization pp 339–350Cite as

Finite horizon approximates of infinite horizon stochastic programs

Section II Stochastic Extremal Problems

Part of the Lecture Notes in Control and Information Sciences book series (LNCIS,volume 81)

Abstract

This paper deals with approximation schemes for infinite horizon, discrete time, stochastic optimization problems. We construct finite horizon approximates that yield upper and lower estimates and whose optimal solutions converge to long-term optimal trajectories. The results extend those of [3] from the deterministic case to the stochastic.

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References

  1. Attouch, H. (1984). Variational convergence for functions and operators. Pitman Research Notes, London.

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  2. Diestel, J. (1984). Sequences and series in Banach Spaces. Springer Verlag, New York.

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  3. Flåm, S.D., and Wets, R.J.-B. (1984). Existence results and finite horizon approximations of inifinite horizon optimization problems. Rep.No. 842555-1, CMI, Bergen, Norway.

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  4. Flåm, S.D., and Wets, R.J.-B. (1984). Infinite horizon discrete time stochastic Bolza type problems: Existence results. Rep.No. 842650-1, Bergen, Norway.

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  5. Grinold, R. (1983). Finite horizon approximations of infinite horizon programs. Mathematical Programming, 25, pp. 64–82.

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Author information

Authors and Affiliations

  1. Christian Michelsen Institute, 5036, Fantoft, Norway

    Sjur D. Flåm

  2. IIASA, 2361, Laxenburg, Austria

    Roger J.-B. Wets

Authors
  1. Sjur D. Flåm
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  2. Roger J.-B. Wets
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Editor information

Vadim I. Arkin A. Shiraev R. Wets

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© 1986 International Institute for Applied Systems Analysis

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Flåm, S.D., Wets, R.JB. (1986). Finite horizon approximates of infinite horizon stochastic programs. In: Arkin, V.I., Shiraev, A., Wets, R. (eds) Stochastic Optimization. Lecture Notes in Control and Information Sciences, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007111

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  • DOI: https://doi.org/10.1007/BFb0007111

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16659-7

  • Online ISBN: 978-3-540-39841-7

  • eBook Packages: Springer Book Archive

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