Guaranteed Bounds for General Non-discrete Multistage Risk-Averse Stochastic Optimization Programs

In general, multistage stochastic optimization problems are formulated on the basis of continuous distributions describing the uncertainty. Such ”infinite” problems are practically impossible to solve as they are formulated and finite tree approximations of the underlying stochastic processes are used as proxies. In this paper, we demonstrate how one can find guaranteed bounds, i.e. finite … Read more