Evaluation of Multistage Stochastic Programming
Title: |
Evaluation of Multistage Stochastic Programming |
DNr: |
LiU-compute-2021-6 |
Project Type: |
LiU Compute |
Principal Investigator: |
Jörgen Blomvall <jorgen.blomvall@liu.se> |
Affiliation: |
Linköpings universitet |
Duration: |
2021-02-18 – 2021-05-01 |
Classification: |
10105 |
Keywords: |
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Abstract
We study how the number of decision stages in multistage stochastic optimization models affect the decision quality. We received a revision on the paper submitted to Quantitative Finance, which requires recomputation of some of the models (extending the number of stochastic variables and the number of stages). This is a joint paper with Jonas Ekblom (LiU) and John Birge (Chicago Booth).