On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
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Publication:5245018
DOI10.1287/moor.2014.0664zbMath1308.90115OpenAlexW2170007044MaRDI QIDQ5245018
Vincent Leclère, Pierre Girardeau, Andy B. Philpott
Publication date: 1 April 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2014.0664
stochastic programmingdynamic programmingBenders decompositionMonte-Carlo samplingstochastic dual dynamic programming algorithm
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