A data-driven approach for a class of stochastic dynamic optimization problems

DOI10.1007/s10589-021-00320-4zbMath1481.90237OpenAlexW3203981230MaRDI QIDQ2057219

Thuener Silva, Davi Michel Valladão, Tito Homem-de-mello

Publication date: 8 December 2021

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

Full work available at URL: https://doi.org/10.1007/s10589-021-00320-4

zbMATH Keywords

stochastic programminghidden Markov modelsstochastic dual dynamic programmingrisk constraintsdistributionally robust dynamic optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (1)

Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance

Uses Software

• ROME
• JuMP
• PRMLT

Cites Work

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