A Quick Estimation of Fréchet Quantizers for a Dynamic Solution to Flood Risk Management Problems

Multi-stage stochastic optimization is a well-known quantitative tool for decision-making under uncertainty. It is broadly used in financial and investment planning, inventory control, and also natural disaster risk management. Theoretical solutions of multi-stage stochastic programs can be found explicitly only in very exceptional cases due to their variational form and interdependency of uncertainty in time. Nevertheless, numerical solutions are often inaccurate, as they rely on Monte-Carlo sa...