Bounds for multistage stochastic programs using supervised learning strategies
Boris Defourny, Damien Ernst and Louis Wehenkel
In: Stochastic Algorithms: Foundations and Applications. Fifth International Symposium, SAGA 2009, Sapporo, Japan(2009).
We propose a generic method for obtaining quickly good upper bounds on the minimal value of a multistage stochastic program. The method is based on the simulation of a feasible decision policy, synthesized by a strategy relying on any scenario tree approximation from stochastic programming and on supervised learning techniques from machine learning.
|EPrint Type:||Conference or Workshop Item (Paper)|
|Project Keyword:||Project Keyword UNSPECIFIED|
|Subjects:||Theory & Algorithms|
|Deposited By:||Louis Wehenkel|
|Deposited On:||08 March 2010|