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Barycentric scenario trees in convex multistage stochastic programming

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Abstract

This work deals with the approximation of convex stochastic multistage programs allowing prices and demand to be stochastic with compact support. Based on earlier results, sequences of barycentric scenario trees with associated probability trees are derived for minorizing and majorizing the given problem. Error bounds for the optimal policies of the approximate problem and duality analysis with respect to the stochastic data determine the scenarios which improve the approximation. Convergence of the approximate solutions is proven under the stated assumptions. Preliminary computational results are outlined.

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Authors and Affiliations

  1. Institute of Operations Research, University of St. Gallen, Holzstr. 15, CH-9000, St. Gallen, Switzerland

    Karl Frauendorfer

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  1. Karl Frauendorfer
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Additional information

This work has been supported by Schweizerischen Nationalfonds Grant Nr. 21-39 575.93.

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Frauendorfer, K. Barycentric scenario trees in convex multistage stochastic programming. Mathematical Programming 75, 277–293 (1996). https://doi.org/10.1007/BF02592156

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  • DOI: https://doi.org/10.1007/BF02592156

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