Multistage stochastic programming: Error analysis for the convex case |
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Authors: | Karl Prauendorfer |
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Affiliation: | (1) Institute for Operations Research, University of St. Gallen, Bodanstr. 6, 9000 St. Gallen, Switzerland |
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Abstract: | We consider convex stochastic multistage problems and present an approximation technique which allows to analyse the error with respect to time. The technique is based on barycentric approximation of conditional and marginal probability spaces and requiresstrict nonanticipativity for the constraint multifunction and thesaddle property for the value functions.Part of this work was carried out at the Institute of Operations Research of the University of Zurich. |
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Keywords: | Approximation Integration Sequential Stochastic Decision Process Discretization |
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