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Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
Optimization Methods & Software ( IF 2.2 ) Pub Date : 2020-08-10 , DOI: 10.1080/10556788.2020.1800007
Vincent Guigues 1
Affiliation  

We introduce the class of multistage stochastic optimization problems with a random number of stages. For such problems, we show how to write dynamic programming equations and how to solve these equations using the Stochastic Dual Dynamic Programming algorithm. Finally, we consider a portfolio selection problem over an optimization period of random duration. For several instances of this problem, we show the gain obtained using a policy that takes the randomness of the number of stages into account over a policy built taking a fixed number of stages (namely the maximal possible number of stages).



中文翻译:

具有随机数阶段的多阶段随机程序:动态程序方程,求解方法以及在投资组合选择中的应用

我们介绍一类随机数的多阶段随机优化问题。针对此类问题,我们展示了如何编写动态规划方程以及如何使用随机对偶动态规划算法求解这些方程。最后,我们考虑了随机持续时间优化期间的投资组合选择问题。对于此问题的几个实例,我们展示了使用策略获得的增益,该策略将阶段数的随机性考虑在内,而建立的策略采用的是固定阶段数(即最大可能的阶段数)。

更新日期:2020-08-10
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