Resumen de The value of the stochastic solution in multistage problems
Laureano Fernando Escudero Bueno, María Araceli Garín Martín, María Merino Maestre, Gloria Pérez Sainz de Rozas
We generalize the definition of the bounds for the optimal value of the objective function for various deterministic equivalent models in multistage stochastic programs. The parameters EVPI and VSS were introduced for two-stage models. The parameter EVPI, the expected value of perfect information, measures how much it is reasonable to pay to obtain perfect information about the future. The parameter VSS, the value of the stochastic solution, allows us to obtain the goodness of the expected solution value when the expected values are replaced by the random values for the input variables. We extend the definition of these parameters to the multistage stochastic model and prove a similar chain of inequalities with the lower and upper bounds depending substantially on the structure of the problem.
