Improving the performance of stochastic dual dynamic programming
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Publication:492066
DOI10.1016/j.cam.2015.04.048zbMath1329.90098OpenAlexW310049385MaRDI QIDQ492066
Erlon C. Finardi, Vitor L. de Matos, Andy B. Philpott
Publication date: 19 August 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.04.048
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Cites Work
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Analysis of stochastic dual dynamic programming method
- On the convergence of stochastic dual dynamic programming and related methods
- Multi-stage stochastic optimization applied to energy planning
- Risk neutral and risk averse stochastic dual dynamic programming method
- A note on the selection of Benders' cuts
- Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
- A regularized decomposition method for minimizing a sum of polyhedral functions
- A Version of the Bundle Idea for Minimizing a Nonsmooth Function: Conceptual Idea, Convergence Analysis, Numerical Results
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