On complexity of multistage stochastic programs
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- The sample average approximation method for stochastic discrete optimization
Cited in
(54)- A stochastic gradient type algorithm for closed-loop problems
- Scenario tree modeling for multistage stochastic programs
- Convergent bounds for stochastic programs with expected value constraints
- Online spatio-temporal matching in stochastic and dynamic domains
- A note on sample complexity of multistage stochastic programs
- Massively parallel processing of recursive multi-period portfolio models
- Dynamic stochastic approximation for multi-stage stochastic optimization
- A multistage stochastic programming approach for preventive maintenance scheduling of GENCOs with natural gas contract
- Central limit theorem and sample complexity of stationary stochastic programs
- Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
- Complexity of stochastic dual dynamic programming
- A stability result for linear Markovian stochastic optimization problems
- A framework for adaptive open-pit mining planning under geological uncertainty
- MIDAS: a mixed integer dynamic approximation scheme
- Some large deviations results for Latin hypercube sampling
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
- A composite risk measure framework for decision making under uncertainty
- Confidence level solutions for stochastic programming
- Asymptotics of minimax stochastic programs
- Aggregation and discretization in multistage stochastic programming
- Solving multistage asset investment problems by the sample average approximation method
- Particle methods for stochastic optimal control problems
- On complexity of multistage stochastic programs under heavy tailed distributions
- Monotonicity and complexity of multistage stochastic variational inequalities
- Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
- Decomposition of large-scale stochastic optimal control problems
- Computational complexity of stochastic programming: Monte Carlo sampling approach
- On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs
- An effective heuristic for multistage linear programming with a stochastic right-hand side
- Numerical study of discretizations of multistage stochastic programs
- Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Multistage stochastic programming: Error analysis for the convex case
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
- About the Complexity of Two-Stage Stochastic IPs
- Sample complexity of sample average approximation for conditional stochastic optimization
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- Sampling-based approximation schemes for capacitated stochastic inventory control models
- Approximation algorithm for the stochastic multiperiod inventory problem via a look-ahead optimization approach
- An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization
- On complexity of stochastic programming problems
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- Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
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- Solving the stochastic team orienteering problem: comparing simheuristics with the sample average approximation method
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- Stochastic decomposition applied to large-scale hydro valleys management
- Optimizing power generation in the presence of micro-grids
- On the number of stages in multistage stochastic programs
- Stochastic programming approach to optimization under uncertainty
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