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.
Author: | Marc 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) |
ZIB-Reportnumber: | 01-24 |