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On stages and consistency checks in stochastic programming. (English) Zbl 1099.90035
Summary: This paper gives a rigorous definition of a stage, usable for dynamic stochastic programs with both recourse and probabilistic constraints. Algebraic modelling languages can make use of this definition for automatic consistency checks.

MSC:
90C15 Stochastic programming
Software:
AMPL; MSLiP; SMPS reader
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References:
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