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Published in:
2011 | OriginalPaper | Chapter
Multistage Stochastic Programs
Authors : John R. Birge, François Louveaux
Published in: Introduction to Stochastic Programming
Publisher: Springer New York
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As the Chapter 1 examples demonstrate, many operational and planning problems involve sequences of decisions over time. The decisions can respond to realizations of outcomes that are not known a priori. The resulting model for optimal decision making is then a multistage stochastic program. In Section 3.4,we gave some of the basic properties of multistage problems. In this chapter, we explore the variety of solution procedures that have been proposed specifically for multistage stochastic programs.