On stochastic programming ii: dynamic problems under risk∗
- 1 September 1988
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 25 (1) , 15-42
- https://doi.org/10.1080/17442508808833530
Abstract
This paper surveys recent work on dynamic stochastic programming problems and their applications. New results are included on the measurability and interpretation-in terms of the expected value of perfect information (EVPI)-of the dual multiplier processes corresponding to these problems. A final section reports preliminary computational experiments with algorithms for 2-stage problemsKeywords
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