Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty
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Publication:4609463
DOI10.1137/16M1072231zbMath1395.90190arXiv1505.02227OpenAlexW2963250537WikidataQ130157751 ScholiaQ130157751MaRDI QIDQ4609463
Tsvetan Asamov, Warren B. Powell
Publication date: 3 April 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.02227
stochastic dual dynamic programmingquadratic regularizationnested decompositionmultistage stochastic optimization
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