2 papers
math.OC2021
Generalized adaptive partition-based method for two-stage stochastic linear programs : convergence and generalization
Maël Forcier, Vincent Leclère
Adaptive Partition-based Methods (APM) are numerical methods to solve two-stage stochastic linear problems (2SLP). The core idea is to iteratively construct an adapted partition of…
math.OC2021
Exact quantization of multistage stochastic linear problems
Maël Forcier, Stéphane Gaubert, Vincent Leclère
We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. We establish this exact quantization result…