Bounding procedures for multistage stochastic dynamic networks

This paper presents new procedures for obtaining upper and lower bounds in the cost minimization of multistage dynamic networks with random link capacities and contrasts them to existing methods. These methods include adaptation of Jensen's inequality to the problem, Monte‐Carlo simulations and an analytical approximation procedure. The new bounding procedures involve a backward pass in the network coupled with a linear approximation at each stage. Some numerical results are presented for networks of substantial size. © 1993 by John Wiley & Sons, Inc.