周期随机规划的对偶界

Oper. Res. Pub Date : 2022-01-14 DOI:10.1287/opre.2021.2245

A. Shapiro, Yi Cheng

{"title":"周期随机规划的对偶界","authors":"A. Shapiro, Yi Cheng","doi":"10.1287/opre.2021.2245","DOIUrl":null,"url":null,"abstract":"A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. 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.","PeriodicalId":19546,"journal":{"name":"Oper. Res.","volume":"49 1","pages":"120-128"},"PeriodicalIF":0.0000,"publicationDate":"2022-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Dual Bounds for Periodical Stochastic Programs\",\"authors\":\"A. Shapiro, Yi Cheng\",\"doi\":\"10.1287/opre.2021.2245\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. 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.\",\"PeriodicalId\":19546,\"journal\":{\"name\":\"Oper. Res.\",\"volume\":\"49 1\",\"pages\":\"120-128\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Oper. Res.\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1287/opre.2021.2245\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Oper. Res.","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1287/opre.2021.2245","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 4

摘要

讨论了带折现因子的无限视界线性随机规划周期公式的对偶构造。对偶问题用于计算所考虑的多阶段随机规划的最优值的确定性上界。数值实验证明了该上界的行为，特别是当折现因子接近于1时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Dual Bounds for Periodical Stochastic Programs

A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. 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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Oper. Res.

自引率

0.00%

发文量