Dual SDDP for risk-averse multistage stochastic programs

DOI10.1016/j.orl.2023.04.001zbMath1525.90296arXiv2107.10930OpenAlexW3183648735MaRDI QIDQ6106548

Vincent Leclère, Bernardo Freitas Paulo da Costa

Publication date: 3 July 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.10930

zbMATH Keywords

stochastic programmingdynamic programmingdualityrisk measuresSDDP

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (1)

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Cites Work

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