Conditions for optimality in multi-stage stochastic programming problems: In this paper it is demonstrated how necessary and sufficient conditions for optimality of a strategy in multi-stage stochastic programs may be obtained without topological assumptions. The conditions are essentially based on a dynamic programming approach. These conditions — called conserving and equalizing — show the essential difference between finite-stage and ∞-stage stochastic programs. Moreover, it is demonstrated how a recursive structure of the problem can give a reformulation of the conditions. These reformulated conditions may be used for the construction of numerical solution techniques.

L.P.J. Groenewegen, J. Wessels

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Original languageEnglish
Title of host publicationRecent results in stochastic programming (Oberwolfach, Germany, 1979)
EditorsP. Kall, A. Prékopa
Place of PublicationBerlin
Number of pages17
ISBN (Electronic)978-3-642-51572-9
ISBN (Print)978-3-540-10013-3
Publication statusPublished - 1980

Publication series

NameLecture Notes in Economics and Mathematical Systems
ISSN (Print)0075-8442

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