A remark on the analysis of multistage stochastic programs: Markov dependence

摘要

Multistage stochastic programming problems can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Employing this dependence we analyse the relationship between one-stage and multistage stochastic programming problems. Furthermore, we introduce some stability and empirical estimates results in the special case of stochastic dependence. [References: 29]