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Dual SDDP for risk-averse multistage stochastic programs - MaRDI portal

Dual SDDP for risk-averse multistage stochastic programs (Q6106548)

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scientific article; zbMATH DE number 7705462
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English
Dual SDDP for risk-averse multistage stochastic programs
scientific article; zbMATH DE number 7705462

    Statements

    title
    Dual SDDP for risk-averse multistage stochastic programs (English)
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    publication date
    3 July 2023
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    zbMATH Keywords
    stochastic programming
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    dynamic programming
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    SDDP
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    risk measures
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    duality
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    Identifiers

    arXiv ID
    2107.10930
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    zbMATH DE Number
    7705462
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    OpenAlex ID
    W3183648735
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