Conditions for optimality in multi-stage stochastic programming problems

L.P.J. Groenewegen, J. Wessels

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Summary. 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 infinite-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.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Hogeschool Eindhoven
Number of pages14
Publication statusPublished - 1979

Publication series

NameMemorandum COSOR
ISSN (Print)0926-4493


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