On the Convergence of Sampling-Based Decomposition Algorithms for Multistage Stochastic Programs

Auteur(s)

Karsten Linowsky

Accéder

Description

The paper presents a convergence proof for a broad class of sampling algorithms for multistage stochastic linear programs in which the uncertain parameters occur only in the constraint right-hand sides. This class includes SDDP, AND, ReSa, and CUPPS. We show that, under some independence assumptions on the sampling procedure, the algorithms converge with probability 1.

Sujets

Sciences economiques > Statistiques, économétrie et mathématiques économiques

Institution partenaire

Université de St-Gall - Schools of Management

Langue

English

Date

2005