Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs (Q2834560)
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scientific article; zbMATH DE number 6655323
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs |
scientific article; zbMATH DE number 6655323 |
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23 November 2016
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stochastic programming
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risk-averse optimization
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decomposition algorithms
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Monte Carlo sampling
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relatively complete recourse
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SDDP
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Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs (English)
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