2006-03-15Buch DOI: 10.18452/2976
Contamination for multistage stochastic programs
Contamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or input data. We shall focus on the case then the already selected scenario tree gets extended for additional (stress or out-of-sample) scenarios and/or additional stages.
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