Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear programming (MSLP) problems often rely upon scenario trees to represent the underlying stochastic process. When this process exhibits stagewise independence, sampling-based techniques, particularly the … Read more