Approximation of multistage stochastic programming problems by smoothed quantization
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00587649" target="_blank" >RIV/67985556:_____/24:00587649 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/24:10490667
Result on the web
<a href="https://link.springer.com/content/pdf/10.1007/s11846-024-00733-5.pdf" target="_blank" >https://link.springer.com/content/pdf/10.1007/s11846-024-00733-5.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11846-024-00733-5" target="_blank" >10.1007/s11846-024-00733-5</a>
Alternative languages
Result language
angličtina
Original language name
Approximation of multistage stochastic programming problems by smoothed quantization
Original language description
We present an approximation technique for solving multistage stochastic programming problems with an underlying Markov stochastic process. This process is approximated by a discrete skeleton process, which is consequently smoothed down by means of the original unconditional distribution. Approximated in this way, the problem is solvable by means of Markov Stochastic Dual Dynamic Programming. We state an upper bound for the nested distance between the exact process and its approximation and discuss its convergence in the one-dimensional case. We further propose an adjustment of the approximation, which guarantees that the approximate problem is bounded. Finally, we apply our technique to a reallife production-emission trading problem and demonstrate the performance of its approximation given the “true” distribution of the random parameters.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA21-07494S" target="_blank" >GA21-07494S: Efficiency of Carbon Reduction Policies</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Review of Managerial Science
ISSN
1863-6683
e-ISSN
1863-6691
Volume of the periodical
18
Issue of the periodical within the volume
1
Country of publishing house
DE - GERMANY
Number of pages
36
Pages from-to
2079-2114
UT code for WoS article
001175189200001
EID of the result in the Scopus database
2-s2.0-85186174671