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Multistage stochastic programming: Error analysis for the convex case

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Abstract

We consider convex stochastic multistage problems and present an approximation technique which allows to analyse the error with respect to time. The technique is based on barycentric approximation of conditional and marginal probability spaces and requiresstrict nonanticipativity for the constraint multifunction and thesaddle property for the value functions.

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Authors and Affiliations

  1. Institute for Operations Research, University of St. Gallen, Bodanstr. 6, 9000, St. Gallen, Switzerland

    Karl Prauendorfer

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  1. Karl Prauendorfer
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Part of this work was carried out at the Institute of Operations Research of the University of Zurich.

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Prauendorfer, K. Multistage stochastic programming: Error analysis for the convex case. ZOR - Mathematical Methods of Operations Research 39, 93–122 (1994). https://doi.org/10.1007/BF01440737

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  • DOI: https://doi.org/10.1007/BF01440737

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