Distributionally Robust Stochastic Dual Dynamic Programming
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Publication:4971026
DOI10.1137/19M1309602zbMath1451.90109MaRDI QIDQ4971026
Publication date: 8 October 2020
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
multistage stochastic programming; stochastic dual dynamic programming; distributionally robust optimization
90C15: Stochastic programming
90C39: Dynamic programming
90C17: Robustness in mathematical programming
Uses Software