On the convergence of sampling-based decomposition algorithms for multistage stochastic programs

DOI10.1007/s10957-004-1842-zzbMath1071.90029OpenAlexW1995265117MaRDI QIDQ1780593

K. Linowsky, Andy B. Philpott

Publication date: 13 June 2005

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/311029/files/10957_2004_Article_1842.pdf

zbMATH Keywords

samplingalmost sure convergenceMultistage stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

• Multi-stage stochastic optimization applied to energy planning
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• Inexact Cuts in Benders Decomposition

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