Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
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Publication:5152473
DOI10.1137/19M1290735zbMath1477.90047arXiv2010.12129OpenAlexW3195908238MaRDI QIDQ5152473
Harsha Gangammanavar, Suvrajeet Sen
Publication date: 24 September 2021
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.12129
multistage stochastic programmingsequential samplingstochastic decompositionregularized cutting-plane methods
Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Dynamic programming (90C39)
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Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization, Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
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