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Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality - MaRDI portal

Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality (Q5110555)

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scientific article; zbMATH DE number 7202483
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Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality
scientific article; zbMATH DE number 7202483

    Statements

    title
    Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality (English)
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    author
    Vincent Leclère
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    Arnaud Lenoir
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    Pierre Carpentier
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    François Pacaud
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    publication date
    20 May 2020
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    zbMATH Keywords
    stochastic programming
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    dynamic programming
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    SDDP
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    Fenchel conjugacy
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    cites work
    Q3241581
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    Convex Analysis
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    Identifiers

    DOI
    10.1137/19M1258876
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    Mathematics Subject Classification ID
    90C15
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    90C39
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    49N15
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    zbMATH DE Number
    7202483
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    OpenAlex ID
    W2795864577
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