Solving multistage asset investment problems by the sample average approximation method

• 成果类型: Article
• 署名作者: Blomvall, Joergen; Shapiro, Alexander
• 署名单位: Linkoping University; University System of Georgia; Georgia Institute of Technology
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-006-0723-7
• 发表日期: 2006
• 页码: 571-595
• 关键词: interior-point solver; performance; portfolio

摘要

The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects the solution quality of multistage stochastic programming problems. We present a new heuristic for determining good feasible solutions for a multistage decision problem. For power and log-utility functions we address the question of how tree structures, number of stages, number of outcomes and number of assets affect the solution quality. We also present a new method for evaluating the quality of first stage decisions.