| Autor: |
Forcier, Maël, Gaubert, Stéphane, Leclère, Vincent |
| Rok vydání: |
2021 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. We establish this exact quantization result by analyzing the polyhedral structure of MSLPs. In particular, we show that the expected cost-to-go functions are polyhedral and affine on the cells of a chamber complex, which is independent of the cost distribution. This leads to new complexity results, showing that MSLP is fixed-parameter tractable. |
| Databáze: |
arXiv |
| Externí odkaz: |
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