Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1034,
author = {Regina Hildenbrandt},
title = {Stochastic dynamic programming with random disturbances},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {23},
year = {2003},
pages = {5-44},
zbl = {1078.90040},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1034}
}
Regina Hildenbrandt. Stochastic dynamic programming with random disturbances. Discussiones Mathematicae Probability and Statistics, Tome 23 (2003) pp. 5-44. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1034/
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