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Testing the structure of multistage stochastic programs

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Abstract

A fixed topology of stages and/or a fixed branching scheme are common assumptions for applications and numerical solution of scenario based multistage stochastic programs. Using contamination technique to test this structure, we extend the results of Dupačová (Contamination for multistage stochastic programs. In: Hušková M, Janžura M (eds) Prague stochastics. Matfyzpress, Praha, pp 91–101, 2006a) to stochastic programs with multistage polyhedral risk objectives. The ideas are exemplified by bond portfolio management problems and complemented by illustrative numerical results.

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Correspondence to Jitka Dupačová.

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Dupačová, J., Bertocchi, M. & Moriggia, V. Testing the structure of multistage stochastic programs. Comput Manag Sci 6, 161–185 (2009). https://doi.org/10.1007/s10287-008-0092-1

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