周期随机规划的对偶界

Oper. Res. Pub Date : 2022-01-14 DOI:10.1287/opre.2021.2245

A. Shapiro, Yi Cheng

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引用次数: 4

摘要

讨论了带折现因子的无限视界线性随机规划周期公式的对偶构造。对偶问题用于计算所考虑的多阶段随机规划的最优值的确定性上界。数值实验证明了该上界的行为，特别是当折现因子接近于1时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dual Bounds for Periodical Stochastic Programs

A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.

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Oper. Res.

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