Publication Date:
2021-02-01
Description:
Scenario tree models of stochastic programs arise naturally under standard nonanticipativity assumptions. We demonstrate how tree-sparse programs cover the general case, with \emph{arbitrary} information constraints. Detailed examples and intuitive interpretations illuminate the basic thoughts behind the abstract but elementary construction.
Keywords:
ddc:000
Language:
English
Type:
reportzib
,
doc-type:preprint
Format:
application/postscript
Format:
application/pdf