2 papers
cs.LG2026
MDP modeling for multi-stage stochastic programs
David P. Morton, Oscar Dowson, Bernardo K. Pagnoncelli
We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous…
math.OC2025
Assessing solution quality in risk-averse stochastic programs
E. Ruben van Beesten, Nick W. Koning, David P. Morton
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically…