Risk neutral and risk averse stochastic dual dynamic programming method
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Publication:2253437
DOI10.1016/j.ejor.2012.08.022zbMath1292.90219OpenAlexW1965328823MaRDI QIDQ2253437
Joari Paulo da Costa, Wajdi Tekaya, Murilo Pereira Soares, Alexander Shapiro
Publication date: 27 July 2014
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.08.022
multistage stochastic programmingdynamic equationsaverage value-at-riskstochastic dual dynamic programmingsample average approximationrisk averse
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