General Information Constraints in Stochastic Programs

Please always quote using this URN: urn:nbn:de:0297-zib-6502
  • 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.

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Author:Marc C. Steinbach
Document Type:ZIB-Report
Tag:filtrations; general nonanticipativity; information constraints; scenarios; sigma-fields; stochastic programs; tree-sparse programs
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G99 None of the above, but in this section
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Date of first Publication:2001/09/28
Series (Serial Number):ZIB-Report (01-24)