Dual Bounds for Periodical Stochastic Programs
成果类型：
Article; Early Access
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
DOI：
10.1287/opre.2021.2245
发表日期：
2022
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.
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