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On the Convergence of Sampling-Based Decomposition Algorithms for Multistage Stochastic Programs
3 references·3 citing·20 second hop
On the Convergence of Sampling-Based Decomposition Algorithms for Multistage Stochastic Programs (2005)On the Convergence of Sampling-Based Deco…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse (1999)Convergent Cutting-Plane and …Introduction to Stochastic Programming (1998)Introduction to Stochastic Pr…Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality (2021)Dynamic Programs with Shared …Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (2016)Convergence Analysis of Sampl…Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming (2014)Multistage Stochastic Decompo…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Annals of operations research (1989)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)A multistage stochastic programming model for the New Zealand dairy industry (2009)Evaluating policies in risk-averse multi-stage stochastic programming (2014)A Stochastic Approximation Method (1951)Two-stage linear decision rules for multi-stage stochastic programming (2018)A multi-stage stochastic program for evacuation management under tornado track uncertainty (2019)Lagrangian dual decomposition for the ambulance relocation and routing considering stochastic demand with the truncated Poisson (2022)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Gas storage valuation in incomplete markets (2020)Restless bandits: activity allocation in a changing world (1988)On an index policy for restless bandits (1990)Analysis of stochastic dual dynamic programming method (2010)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Ambulance location and relocation models (2003)Stochastic Programming Models (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)
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References

  • 2011Introduction to Stochastic Programming6,469 cited
  • 1998Introduction to Stochastic Programming1,664 cited
  • 1999Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse114 cited

Cited by

  • 2014Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming52 cited
  • 2016Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs52 cited
  • 2021Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality22 cited

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