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2007-08-05Buch DOI: 10.18452/8381
Decomposition of Multistage Stochastic Programs with Recombining Scenraio Trees
dc.contributor.authorKüchler, Christian
dc.contributor.authorVigerske, Stefan
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:14:43Z
dc.date.available2017-06-16T20:14:43Z
dc.date.created2007-08-06
dc.date.issued2007-08-05
dc.date.submitted2007-05-01
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9033
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectmultistage stochastic programmingeng
dc.subjectnested Benders decompositioneng
dc.subjectrecombining scenario treeseng
dc.subject.ddc510 Mathematik
dc.titleDecomposition of Multistage Stochastic Programs with Recombining Scenraio Trees
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10078946
dc.identifier.doihttp://dx.doi.org/10.18452/8381
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue9
local.edoc.container-erstkatid2936317-2

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