Abstract
A multistage stochastic programming problem can be introduced as a finite system of parametric one-stage optimization problems with an inner type of dependence and mathematical (mostly conditional) expectation in objective functions of the individual problems (for more details see e.g. [1], [3], [8]). The constraints sets can depend on the “underlying” probability measure.
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Kanková, V. (2007). Multistage Stochastic Programming Problems; Stability and Approximation. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_94
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DOI: https://doi.org/10.1007/978-3-540-69995-8_94
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