Multi-period stochastic programming
This dissertation presents various aspects of the solution of the linear multi-period stochastic programming problem. Under relatively mild assumptions on the structure of the random variables present in the problem, the value function at every time stage is shown to be jointly convex in the history...
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| Language: | English |
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University of British Columbia
2010
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| Online Access: | http://hdl.handle.net/2429/27304 |