Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (Q2834560): Difference between revisions

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Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
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    Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (English)
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    23 November 2016
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    stochastic programming
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    risk-averse optimization
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    decomposition algorithms
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    Monte Carlo sampling
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    relatively complete recourse
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    SDDP
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