Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
Optimization and Control
2019-07-18 v5
Abstract
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 detail the Stochastic Dual Dynamic Programming algorithm to solve these equations. 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 random duration of the number of stages into account over a policy built taking a fixed number of stages (namely the maximal possible number of stages).
Cite
@article{arxiv.1803.06034,
title = {Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection},
author = {Vincent Guigues},
journal= {arXiv preprint arXiv:1803.06034},
year = {2019}
}