The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

@article{Casey2005TheSG,
  title={The Scenario Generation Algorithm for Multistage Stochastic Linear Programming},
  author={Michael S. Casey and Suvrajeet Sen},
  journal={Math. Oper. Res.},
  year={2005},
  volume={30},
  pages={615-631}
}
A multistage stochastic linear program (MSLP) is a model of sequential stochastic optimization where the objective and constraints are linear. When any of the random variables used in the MSLP are continuous, the problem is infinite dimensional. In order to numerically tackle such a problem we usually replace it with a finite dimensional approximation. Even when all the random variables have finite support, the problem is often computationally intractable and must be approximated by a problem… CONTINUE READING