2007-08-05Buch DOI: 10.18452/8381
Decomposition of Multistage Stochastic Programs with Recombining Scenraio Trees
This paper presents a decomposition approach for linear multistage stochasticprograms, that is based on the concept of recombining scenario trees. The latter, widely applied in Mathematical Finance, may prevent the node number of thescenario tree to grow exponentially with the number of time stages. It is shownhow this property may be exploited within a non-Markovian framework and under time-coupling constraints. Being close to the well-established Nested BendersDecomposition, our approach uses the special structure of recombining trees forsimultaneous cutting plane approximations. Convergence is proved and stoppingcriteria are deduced. Techniques for the generation of suitable scenario trees andsome numerical examples are presented.
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