Dual Bounds for Periodical Stochastic Programs
成果类型：
Article
署名作者：
Shapiro, Alexander; Cheng, Yi
署名单位：
University System of Georgia; Georgia Institute of Technology
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
发表日期：
2023
页码：
120-128
关键词：
摘要：
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.