An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

References

• Attouch H., Wets R. J.-B. A convergence theory for saddle functions. Trans. Am. Math. Soc. (1983) 280(1):1–41Crossref, Google Scholar
• Ben-Tal A., Golany B., Nemirovski A., Vial J. Supplier-retailer flexible commitments contracts: A robust optimization approach. Manufacturing Service Oper. Management (2005) 7(3):248–273Link, Google Scholar
• Birge J. R. Aggregation in stochastic linear programming. Math. Program. (1985) 31:25–41Crossref, Google Scholar
• Birge J. R., Louveaux F.Introduction to Stochastic Programming (1997) (Springer-Verlag, New York) Google Scholar
• Casey M. S., Sen S. The scenario generation algorithm for multistage stochastic linear programming. Math. Oper. Res. (2005) 30(3):615–631Link, Google Scholar
• Chung K. L., Williams R. J.Introduction to Stochastic Integration (1983) (Birkhäuser, Boston) Crossref, Google Scholar
• Dellacherie C., Meyer P. A.Probabilités et potentiel (1975) (Hermann, Paris). chapitres I–IVGoogle Scholar
• Dellacherie C., Meyer P. A.Probabilités et potentiel (1975) (Hermann, Paris). chapitres V–VIIIGoogle Scholar
• DeMiguel V., Mishra N. What multistage stochastic programming can do for network revenue management. (2006) . Working paper, London Business SchoolGoogle Scholar
• Doob J. L.Measure Theory (1994) (Springer, New York) Crossref, Google Scholar
• Dunford N., Schwartz J. T.Linear Operators: Part I (1988) (John Wiley and Sons, New York, Chichester, Brisbane, Toronto, Singapore) Google Scholar
• Flåm S., Wets R. J.-B. Finite horizon approximates of infinite horizon stochastic programs. Stochas. Optim. (1986) 81:337–350Google Scholar
• Flåm S., Wets R. J.-B. Existence results and finite horizon approximates for infinite horizon optimization problems. Econometrica (1987) 55:1187–1209Crossref, Google Scholar
• Frauendorfer K., Schürle M. Management of non-maturing deposits by multistage stochastic programming. Eur. J. Oper. Res. (2003) 151:602–616Crossref, Google Scholar
• Haarbrücker G., Kuhn D. Valuation of electricity swing options by multistage stochastic programming. Automatica (2008) . ForthcomingGoogle Scholar
• Karmarkar U. S. The multiperiod multilocation inventory problem. Oper. Res. (1981) 29(2):215–228Link, Google Scholar
• Korf L. A. Approximating infinite horizon stochastic optimal control in discrete time with constraints. Ann. Oper. Res. (2006) 142:165–186Crossref, Google Scholar
• Kuhn D. Generalized bounds for convex multistage stochastic programs. Lecture Notes Econom. Math. Syst. (2004) 548(Springer-Verlag, Berlin) Google Scholar
• Kuhn D. Aggregation and discretization in multistage stochastic programming. Math. Program. A (2008) 113(1):61–94Crossref, Google Scholar
• Kuhn D. Convergent bounds for stochastic programs with expected value constraints. J. Optim. Theory Appl. (2008) . ForthcomingGoogle Scholar
• Pereira M., Pinto L. Multistage stochastic optimization applied to energy planning. Math. Program. (1991) 52:359–375Crossref, Google Scholar
• Revuz D., Yor M.Continuous Martingales and Brownian Motion (1991) (Springer, New York) Crossref, Google Scholar
• Rockafellar R. T. Integrals which are convex functionals. Pacific J. Math. (1968) 24(3):525–539Crossref, Google Scholar
• Rockafellar R. T. Integrals which are convex functionals, II. Pacific J. Math. (1971) 39(2):439–469Crossref, Google Scholar
• Rockafellar R. T.Conjugate Duality and Optimization (1974) (SIAM, Philadelphia) Crossref, Google Scholar
• Rockafellar R. T., Wets R. J.-B. Variational analysis. A Series of Comprehensive Studies in Mathematics (1998) 317(Springer-Verlag, New York) Google Scholar
• Wright S. E. Primal-dual aggregation and disaggregation for stochastic linear programs. Math. Oper. Res. (1994) 19(4):893–908Link, Google Scholar