Distributionally Robust Stochastic Dual Dynamic Programming

DOI10.1137/19M1309602zbMath1451.90109MaRDI QIDQ4971026

Daniel Duque, David P. Morton

Publication date: 8 October 2020

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

multistage stochastic programmingstochastic dual dynamic programmingdistributionally robust optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Robustness in mathematical programming (90C17)

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Uses Software

• RSOME

Cites Work

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