Multistage stochastic programming (MSP) is a framework for sequential decision making under uncertainty where the decision space is typically high dimensional and involves complicated constraints, and the uncertainty is modeled by a general stochastic process. In the traditional risk neutral setting, the goal is to find a sequence of decisions o...
Creator:
Ahmed, Shabbir (Georgia Institute of Technology)
Created:
2016-08-09
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.