| Title:
|
Non-parametric approximation of non-anticipativity constraints in scenario-based multistage stochastic programming (English) |
| Author:
|
Roy, Jean-Sébastien |
| Author:
|
Lenoir, Arnaud |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
2 |
| Year:
|
2008 |
| Pages:
|
171-184 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We propose two methods to solve multistage stochastic programs when only a (large) finite set of scenarios is available. The usual scenario tree construction to represent non-anticipativity constraints is replaced by alternative discretization schemes coming from non-parametric estimation ideas. In the first method, a penalty term is added to the objective so as to enforce the closeness between decision variables and the Nadaraya–Watson estimation of their conditional expectation. A numerical application of this approach on an hydro-power plant management problem is developed. The second method exploits the interpretation of kernel estimators as a sum of basis functions. (English) |
| Keyword:
|
multistage stochastic programming |
| Keyword:
|
scenarios |
| Keyword:
|
discrete approximation |
| MSC:
|
49M25 |
| MSC:
|
60F25 |
| MSC:
|
62G07 |
| MSC:
|
90C15 |
| MSC:
|
90C59 |
| MSC:
|
90C90 |
| idZBL:
|
Zbl 1154.90560 |
| idMR:
|
MR2428218 |
| . |
| Date available:
|
2009-09-24T20:33:15Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135842 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| . |
