Envelope Theorems for Multistage Linear Stochastic Optimization

DOI10.1287/opre.2020.2038zbMath1485.90075OpenAlexW3117214450WikidataQ113749904 ScholiaQ113749904MaRDI QIDQ5031649

David Wozabal, Gonçalo Terça

Publication date: 16 February 2022

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

Full work available at URL: https://doi.org/10.1287/opre.2020.2038

zbMATH Keywords

optimizationalgorithmsstochastic programmingsensitivity analysisMarkov decision processesstochastic dual dynamic programmingsemi-algebraic sets

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

Related Items (2)

Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ Duality and sensitivity analysis of multistage linear stochastic programs

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