Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection

作     者：Guigues, Vincent 

作者机构：FGV Sch Appl Math Rio De Janeiro Brazil 

出 版 物：《OPTIMIZATION METHODS & SOFTWARE》 (最优化方法与软件)

年 卷 期：2021年第36卷第1期

页      面：211-236页

核心收录：

学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0835[工学-软件工程] 0701[理学-数学] 

基　　金：FGV grant Conselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPq) [311289/2016-9, 401371/2014-0] Fundacao Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro (FAPERJ) [E-26/201.599/2014] 

主　　题：Stochastic programming random number of stages SDDP portfolio selection 

摘      要：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).