multistage stochastic program
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Dual Bounds for Periodical Stochastic Programs

2022 ◽  
Author(s):  
Alexander Shapiro ◽  
Yi Cheng
Keyword(s):  
Upper Bound ◽  
Numerical Experiments ◽  
Dual Problem ◽  
Infinite Horizon ◽  
Stochastic Program ◽  
Discount Factor ◽  
Stochastic Programs ◽  
Multistage Stochastic Program ◽  
Optimal Value ◽  
Dual Bounds

A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.

scholarly journals A multistage stochastic program for the design and management of flexible infrastructure networks

2021 ◽  
Vol 210 ◽  
pp. 107549
Author(s):  
Samuel Torres-Rincón ◽  
Mauricio Sánchez-Silva ◽  
Emilio Bastidas-Arteaga
Keyword(s):  
Stochastic Program ◽  
Infrastructure Networks ◽  
Multistage Stochastic Program ◽  
Flexible Infrastructure

Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling

2016 ◽  
Vol 253 (2) ◽  
pp. 713-731 ◽  
Author(s):  
Vitor L. de Matos ◽  
David P. Morton ◽  
Erlon C. Finardi
Keyword(s):  
Stochastic Program ◽  
Hydrothermal Scheduling ◽  
Multistage Stochastic Program
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