Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
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Publication:2834560
DOI10.1137/140983136zbMath1356.90095arXiv1408.4439OpenAlexW2962879290MaRDI QIDQ2834560
Publication date: 23 November 2016
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.4439
stochastic programmingdecomposition algorithmsMonte Carlo samplingSDDPrisk-averse optimizationrelatively complete recourse
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