Evaluation of Multistage Stochastic Programming
Title: Evaluation of Multistage Stochastic Programming
SNIC Project: LiU-compute-2021-6
Project Type: LiU Compute
Principal Investigator: Jörgen Blomvall <jorgen.blomvall@liu.se>
Affiliation: Linköpings universitet
Duration: 2021-02-18 – 2021-04-01
Classification: 10105
Keywords:

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).