On stochastic programming ii: dynamic problems under risk^∗

^∗An Earlier Version of this Paper was Dedicated to R. T. Rockafellar on the Occasion of his Honorary Doctorate of Science From the University of Groningen, 20 June 1984

Abstract

This paper surveys recent work on dynamic stochastic programming problems and their applications. New results are included on the measurability and interpretation-in terms of the expected value of perfect information (EVPI)-of the dual multiplier processes corresponding to these problems. A final section reports preliminary computational experiments with algorithms for 2-stage problems

Keywords:

• Dynamic stochastic programming
• discrete time stochastic control
• expected value of perfect information
• Lagrangean decomposition computational techniques

^∗An Earlier Version of this Paper was Dedicated to R. T. Rockafellar on the Occasion of his Honorary Doctorate of Science From the University of Groningen, 20 June 1984

^†Research partially supported by NSERC Grant A5489

^∗An Earlier Version of this Paper was Dedicated to R. T. Rockafellar on the Occasion of his Honorary Doctorate of Science From the University of Groningen, 20 June 1984

^†Research partially supported by NSERC Grant A5489

Notes

^∗An Earlier Version of this Paper was Dedicated to R. T. Rockafellar on the Occasion of his Honorary Doctorate of Science From the University of Groningen, 20 June 1984

^†Research partially supported by NSERC Grant A5489