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2004-02-10Buch DOI: 10.18452/8310
Epi-convergent discretizations of multistage stochastic programs
dc.contributor.authorPennanen, Teemu
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:57:06Z
dc.date.available2017-06-16T19:57:06Z
dc.date.created2006-03-01
dc.date.issued2004-02-10
dc.date.submitted2003-11-28
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8962
dc.description.abstractIn many dynamic stochastic optimization problems in practice, the uncertain factors are best modeled as random variables with an infinite support. This results in infinite-dimensional optimization problems that can rarely be solved directly. Therefore, the random variables (stochastic processes) are often approximated by finitely supported ones (scenario trees), which result in finite-dimensional optimization problems that are more likely to be solvable by available optimization tools. This paper presents conditions under which such finite-dimensional optimization problems can be shown to epi-converge to the original infinite-dimensional problem. Epi-convergence implies the convergence of optimal values and solutions as the discretizations are made finer. Our convergence result applies to a general class of convex problems where neither linearity nor complete recourse are assumed.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectepi-convergenceeng
dc.subjectmultistage stochastic programeng
dc.subjectdiscretizationeng
dc.subject.ddc510 Mathematik
dc.titleEpi-convergent discretizations of multistage stochastic programs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8962-5
dc.identifier.doihttp://dx.doi.org/10.18452/8310
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameInstitute for Operations Research and the Management Sciences
local.edoc.container-publisher-placeLinthicum, Md.
local.edoc.container-volume2004
local.edoc.container-issue16
local.edoc.container-year2005
local.edoc.container-erstkatid2936317-2

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