Duality and sensitivity analysis of multistage linear stochastic programs

DOI10.1016/j.ejor.2022.11.051arXiv1911.07080MaRDI QIDQ6112560

Vincent Guigues, Alexander Shapiro, Yi Cheng

Publication date: 10 July 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.07080

zbMATH Keywords

stochastic optimization; sensitivity analysis; SDDP; relatively complete recourse; dual SDDP

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C15: Stochastic programming

Related Items

Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

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