In this paper, we introduce a new class of decision rules called Constant Depth Decision Rules (CDDRs) for Multistage Stochastic Convex Programs (MSCP) depending on a parame- ter Mi called the depth of the decision rules. ...

The problem of production management can often be cast in the form of a linear program with uncertain parameters and risk constraints. Typically, such problems are treated in the framework of multi-stage Stochastic ...