Dual Bounds for Periodical Stochastic Programs
研究了无限期线性随机规划周期形式的对偶构造，利用对偶问题计算最优值的确定性上界，并通过数值实验展示折扣因子接近1时的表现。
A construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor is discussed. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.