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Postoptimality for multistage stochastic linear programs

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Abstract

The contamination technique is presented as a flexible and relatively easily tractable tool to postoptimality analysis for scenario based multistage stochastic linear programs. It is promising especially in cases when the influence of additional or out-of-sample scenarios on the already solved problem is to be explored.

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Authors and Affiliations

  1. Charles University, Prague, Czech Republic

    Jitka Dupačová

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  1. Jitka Dupačová
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Research supported in part by the Grant Agency of the Czech Republic under Grant No. 402/93/0631.

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Dupačová, J. Postoptimality for multistage stochastic linear programs. Ann Oper Res 56, 65–78 (1995). https://doi.org/10.1007/BF02031700

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