Central limit theorem and sample complexity of stationary stochastic programs

DOI10.1016/j.orl.2021.06.019OpenAlexW3184830491MaRDI QIDQ2060347

Alexander Shapiro, Yi. Cheng

Publication date: 13 December 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2021.06.019

zbMATH Keywords

optimal controldynamic programmingrisk-averseSDDP algorithm

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Stochastic optimal control. The discrete time case
• Risk neutral reformulation approach to risk averse stochastic programming
• Risk neutral and risk averse stochastic dual dynamic programming method
• Coherent Measures of Risk
• Periodical Multistage Stochastic Programs
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