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Generalized Bounds for Convex Multistage Stochastic Programs

Name: Generalized Bounds for Convex Multistage Stochastic Programs
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01559633
Price: 22805 HUF
Availability: InStock
Author: D. Kuhn
ISBN: 9783540225409

D. Kuhn

Language

English

Book Paperback

Libristo code: 01559633

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, October 2004

This book investigates convex multistage stochastic programs whose objective and constraint function... Full description

Libristo code: 01559633

152 b

22 805 Ft

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This book investigates convex multistage stochastic programs whose objective and constraint functions exhibit a generalized nonconvex dependence on the random parameters. Although the classical Jensen and Edmundson-Madansky type bounds or their extensions are generally not available for such problems, tight bounds can systematically be constructed under mild regularity conditions. A distinct primal-dual symmetry property is revealed when the proposed bounding method is applied to linear stochastic programs. Exemplary applications are studied to assess the performance of the theoretical concepts in situations of practical relevance. It is shown how market power, lognormal stochastic processes,and risk-aversion can be properly handled in a stochastic programming framework. Numerical experiments show that the relative gap between the bounds can typically be reduced to a few percent at reasonable problem dimensions.