A Scalable Bounding Method for Multistage Stochastic Programs


Many dynamic decision problems involving uncertainty can be appropriately modeled as multistage stochastic programs. However, most practical instances are so large and/or complex that it is impossible to solve them on a single computer, especially due to memory limitations. Extending the work of [B. Sandikci, N. Kong, and A. J. Schaefer, Math. Program., 138… (More)
DOI: 10.1137/16M1075594


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