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Aggregation and Discretization in Multistage Stochastic Programming


Speaker: Daniel Kuhn, Stanford University
Location: 3106 MSB
Start time: Wed, Apr 5 2006, 4:10PM

Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to ensure computational tractability, continuous-state stochastic programs are usually discretized; and frequently, the curse of dimensionality dictates that decision stages must be aggregated. In this talk we construct two discrete, stage-aggregated stochastic programs which provide upper and lower bounds on the optimal value of the original problem. The approximate problems involve finitely many decisions and constraints, thus principally allowing for numerical solution.