Evaluation of Multistage Stochastic Programming
||Evaluation of Multistage Stochastic Programming|
||Jörgen Blomvall <firstname.lastname@example.org>|
||2021-02-18 – 2021-04-01|
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).