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2002-02-21Buch DOI: 10.18452/8266
Multistage stochastic convex programs
dc.contributor.authorHigle, Julia L.
dc.contributor.authorSen, Suvrajeet
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:46:37Z
dc.date.available2017-06-16T19:46:37Z
dc.date.created2006-02-16
dc.date.issued2002-02-21
dc.date.submitted2001-11-30
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8918
dc.description.abstractIn this paper, we study alternative primal and dual formulations of multistage stochastic convex programs (SP). The alternative dual problems which can be traced to the alterna-tive primal representations, lead to stochastic analogs of standard deterministic constructs such as conjugate functions and Lagrangians. One of the by-products of this approach is that the development does not depend on dynamic programming (DP) type recursive arguments, and is therefore applicable to problems in which the objective function is non-separable (in the DP sense). Moreover, the treatment allows us to handle both continuous and discrete random variables with equal ease. We also investigate properties of the ex-pected value of perfect information (EVPI) within the context of SP, and the connection between EVPI and nonanticipativity of optimal multipliers. Our study reveals that there exist optimal multipliers that are nonanticipative if, and only if, the EVPI is zero. Finally, we provide interpretations of the retroactive nature of the dual multipliers.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectStochastic Programmingeng
dc.subjectDualityeng
dc.subjectEVPIeng
dc.subject.ddc510 Mathematik
dc.titleMultistage stochastic convex programs
dc.typebook
dc.subtitleDuality and its implications
dc.identifier.urnurn:nbn:de:kobv:11-10058335
dc.identifier.doihttp://dx.doi.org/10.18452/8266
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages23
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue2
local.edoc.container-erstkatid2936317-2

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