Step decision rules for multistage stochastic programming: A heuristic approach

@article{Thni2008StepDR,
  title={Step decision rules for multistage stochastic programming: A heuristic approach},
  author={Julien Th{\'e}ni{\'e} and Jean-Philippe Vial},
  journal={Automatica},
  year={2008},
  volume={44},
  pages={1569-1584}
}
Stochastic programming with step decision rules, SPSDR, is an attempt to overcome the curse of computational complexity of multistage stochastic programming problems. SPSDR combines several techniques. The first idea is to work with independent experts. Each expert is confronted with a sample of scenarios drawn at random from the original stochastic process. The second idea is to have each expert work with step decision rules. The optimal decision rules of the individual experts are then… CONTINUE READING

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