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).

Abstract

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.

PDF - Requires Adobe Acrobat Reader or other PDF viewer.

[Edit]