edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): Suvrajeet Sen, Ohio State University
Zhihong Zhou, University of Arizona
Title: Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
Date of Acceptance: 19.03.2012
Submission Date: 13.03.2012
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-100200569)
Keywords (eng): multi-stage stochastic programming, sequential sampling, stochastic decomposition, approximate dynamic programming
Appeared in: SIOPT
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  
print on demand: If you click on this icon you can order a print copy of this publication. Bestellung als gedruckte und gebundene Version bei epubli.de, Ausführung der Bestellung erst nach Bestätigung auf den epubli.de-Seiten
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.
  • connotea
  • del.icio.us
  • Furl
  • RawSugar

Abstract (eng):
Multi-stage stochastic programs (MSP) pose some of the more challenging optimization problems. Because such models can become rather intractable in general, it is important to design algorithms that can provide approximations which, in the long run, yield solutions that are arbitrarily close to an optimum. In this paper, we propose a statistically motivated sequential sampling method that is applicable to multi-stage stochastic linear programs, and we refer to it as the multistage stochastic decomposition (MSD) algorithm. As with earlier SD methods for two- stage stochastic linear programs, this approach preserves one of the most attractive features of SD: asymptotic convergence of the solutions can be proven (with probability one) without any iteration requiring more than a small sample-size. This data-driven approach also allows us to sequentially update value function approximations, and the computations themselves can be organized in a manner that decomposes the scenario generation (stochastic) process from the optimization computations. As a by-product of this study, we also show that SD algorithms are essentially approximate dynamic programming algorithms for SP. Our asymptotic analysis also reveals conceptual connections between multiple SP algorithms.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Startseite: 26 Zugriffe PDF: 53 Zugriffe Startseite: 24 Zugriffe PDF: 58 Zugriffe Startseite: 18 Zugriffe PDF: 68 Zugriffe Startseite: 12 Zugriffe PDF: 28 Zugriffe Startseite: 21 Zugriffe PDF: 54 Zugriffe Startseite: 33 Zugriffe PDF: 42 Zugriffe Startseite: 16 Zugriffe PDF: 42 Zugriffe PDF: 12 Zugriffe PDF: 6 Zugriffe Startseite: 11 Zugriffe PDF: 16 Zugriffe Startseite: 7 Zugriffe PDF: 10 Zugriffe Startseite: 13 Zugriffe PDF: 11 Zugriffe Startseite: 8 Zugriffe PDF: 25 Zugriffe Startseite: 2 Zugriffe PDF: 41 Zugriffe Startseite: 4 Zugriffe PDF: 30 Zugriffe Startseite: 11 Zugriffe PDF: 42 Zugriffe Startseite: 5 Zugriffe PDF: 12 Zugriffe Startseite: 9 Zugriffe PDF: 47 Zugriffe Startseite: 5 Zugriffe PDF: 18 Zugriffe Startseite: 9 Zugriffe PDF: 34 Zugriffe Startseite: 3 Zugriffe PDF: 26 Zugriffe Startseite: 5 Zugriffe PDF: 37 Zugriffe Startseite: 5 Zugriffe PDF: 40 Zugriffe Startseite: 5 Zugriffe PDF: 58 Zugriffe Startseite: 10 Zugriffe PDF: 40 Zugriffe Startseite: 4 Zugriffe PDF: 31 Zugriffe Startseite: 1 Zugriffe PDF: 40 Zugriffe Startseite: 11 Zugriffe PDF: 25 Zugriffe Startseite: 17 Zugriffe PDF: 32 Zugriffe Startseite: 20 Zugriffe PDF: 37 Zugriffe
Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Sep
14
Monat Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Sep
14
Startseite 26 24 18 12 21 33 16     11 7 13 8 2 4 11 5 9 5 9 3 5 5 5 10 4 1 11 17 20
PDF 53 58 68 28 54 42 42 12 6 16 10 11 25 41 30 42 12 47 18 34 26 37 40 58 40 31 40 25 32 37

Gesamtzahl der Zugriffe seit Apr 2012:

  • Startseite – 315 (10.5 pro Monat)
  • PDF – 1015 (33.83 pro Monat)
 
 
Generated at 25.10.2014, 20:59:02