On the convergence of stochastic dual dynamic programming and related methods

DOI10.1016/j.orl.2008.01.013zbMath1155.90437OpenAlexW1996934332MaRDI QIDQ1003494

J. Martínez

Publication date: 4 March 2009

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/9040

zbMATH Keywords

Monte Carlo samplingmultistage stochastic programmingBenders decomposition

Mathematics Subject Classification ID

Stochastic programming (90C15)

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