Periodical Multistage Stochastic Programs
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Publication:5116550
DOI10.1137/19M129406XzbMath1448.90066OpenAlexW3047197922MaRDI QIDQ5116550
Alexander Shapiro, Lingquan Ding
Publication date: 18 August 2020
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m129406x
decision rulesdynamic programmingfixed point theoremBellman equationsmultistage programsSDDP algorithm
Related Items (5)
Unnamed Item ⋮ Unnamed Item ⋮ Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems ⋮ Stochastic dynamic cutting plane for multistage stochastic convex programs ⋮ Central limit theorem and sample complexity of stationary stochastic programs
Uses Software
Cites Work
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