Distributionally robust SDDP (Q1989729): Difference between revisions

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-.1007/s10287-018-0314-0
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+Andy B. Philpott
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+Vitor L. de Matos
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Theory and Applications of Robust Optimization
@@ Property / cites work: Theory and Applications of Robust Optimization / rank @@
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+Julia: A Fresh Approach to Numerical Computing
@@ Property / cites work: Julia: A Fresh Approach to Numerical Computing / rank @@
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+Improving the performance of stochastic dual dynamic programming
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+JuMP: A Modeling Language for Mathematical Optimization
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+On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
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+Cut sharing for multistage stochastic linear programs with interstage dependency
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+Evaluating policies in risk-averse multi-stage stochastic programming
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@@ Property / cites work @@
+Multi-stage stochastic optimization applied to energy planning
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+Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
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@@ Property / cites work @@
+On Solving Multistage Stochastic Programs with Coherent Risk Measures
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+Analysis of stochastic dual dynamic programming method
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+Lectures on Stochastic Programming
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+.1007/S10287-018-0314-0
@@ Property / DOI: 10.1007/S10287-018-0314-0 / rank @@
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