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  • Search: subject:"discrete time control problem"
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Year of publication
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Stochastic programming 1 decomposition methods 1 discrete time control problem 1 iterative scheme 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Barro, Diana 1 Canestrelli, Elio 1
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Dipartimento di Economia, Università Ca' Foscari Venezia 1
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Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1
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RePEc 1
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Combining stochastic programming and optimal control to solve multistage stochastic optimization problems
Barro, Diana; Canestrelli, Elio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011
In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic...
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