Bounds for Multistage Stochastic Programs using Supervised Learning Strategies

Defourny, Boris; Ernst, Damien; Wehenkel, Louis

doi:10.1007/978-3-642-04944-6_6

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Bounds for Multistage Stochastic Programs using Supervised Learning Strategies

Defourny, Boris; Ernst, Damien; Wehenkel, Louis

2009 • In Watanabe, Osamu; Zeugmann, Thomas (Eds.) Stochastic Algorithms: Foundations and Applications

Peer reviewed

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https://hdl.handle.net/2268/27715

DOI
10.1007/978-3-642-04944-6_6

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Keywords :

Stochastic Programming; Supervised Learning

Abstract :

[en] 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.

Disciplines :

Computer science

Author, co-author :

Defourny, Boris ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Dép. d'électric., électron. et informat. (Inst.Montefiore)

Ernst, Damien ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation

Wehenkel, Louis ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation

Language :

English

Title :

Bounds for Multistage Stochastic Programs using Supervised Learning Strategies

Publication date :

2009

Event name :

Stochastic Algorithms: Foundations and Applications. Fifth International Symposium, SAGA 2009

Event organizer :

Hokkaido University

Event place :

Sapporo, Japan

Event date :

October 26-28, 2009

Audience :

International

Main work title :

Stochastic Algorithms: Foundations and Applications

Editor :

Watanabe, Osamu

Zeugmann, Thomas

Publisher :

Springer

ISBN/EAN :

9783642049439

Collection name :

Lecture Notes in Computer Sciences; 5792

Pages :

61-73

Peer reviewed :

Peer reviewed

Additional URL :

http://www.springerlink.com/content/1700016r11964778

Funders :

F.R.S.-FNRS - Fonds de la Recherche Scientifique

Funding text :

This paper presents research results of the Belgian Network DYSCO (Dynamical Systems, Control, and Optimization), funded by the Interuniversity Attraction Poles Programme, initiated by the Belgian State, Science Policy Office.

Available on ORBi :

since 08 November 2009

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