Dual Bounds for Periodical Stochastic Programs

In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.

Funding: Financial support from the National Science Foundation [Grant 1633196] is gratefully acknowledged.