Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (Q2834560)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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