Finite horizon approximates of infinite horizon stochastic programs

Flam, S.D. & Wets, R.J.B. (1986). Finite horizon approximates of infinite horizon stochastic programs. In: Stochastic Optimization. Eds. Arkin, V.I., Shiraev, A., & Wets, R., pp. 339-350 Germany: Springer Berlin Heidelberg. ISBN 978-3-540-39841-7 10.1007/BFb0007111.

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Abstract

This paper deals with approximation schemes for infinite horizon, discrete time, stochastic optimization problems. We construct finite horizon approximates that yield upper and lower estimates and whose optimal solutions converge to long-term optimal trajectories. The results extend those of [3] from the deterministic case to the stochastic.

Item Type:	Book Section
Research Programs:	Optimization under Uncertainty (OPT)
Depositing User:	Romeo Molina
Date Deposited:	13 Dec 2016 10:45
Last Modified:	27 Aug 2021 17:41
URI:	https://pure.iiasa.ac.at/14139

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