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On the convergence of stochastic dual dynamic programming and related methods · Study

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ArticleOn the convergence of stochastic dual dynamic programming and related methods

Andy Philpott2008

OA

Articlegreen2008

On the convergence of stochastic dual dynamic programming and related methods

232 citations·0/0 files stored·Operations Research Letters

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Risk and Portfolio Optimization Complexity and Algorithms in Graphs Advanced Optimization Algorithms Research

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References

2011Introduction to Stochastic Programming 1998Introduction to Stochastic Programming

Cited by

2011Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion 2014On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs 2014Clearing the Jungle of Stochastic Optimization 2020SDDP.jl : A Julia Package for Stochastic Dual Dynamic Programming 2015Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty 2014Evaluating policies in risk-averse multi-stage stochastic programming 2020Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets 2009A multistage stochastic programming model for the New Zealand dairy industry

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Details

Year2008

Typearticle

Published2008-03-05

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations232

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.orl.2008.01.013

openalex_workW1996934332

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