Multistage stochastic programming (MSP) is a framework for sequential decision making under uncertainty where the decision space is typically high dimensional and involves complicated constraints, and the uncertainty is modeled by a general stochastic process. In the traditional risk neutral setting, the goal is to find a sequence of decisions or a policy so as to optimize an expected value objective. MSP has found applications in a variety of important sectors including energy, finance, manufacturing, services, and natural resources.