A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
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Publication:5858992
DOI10.1080/10556788.2020.1811705zbMath1464.90047OpenAlexW3083526846MaRDI QIDQ5858992
Liu Yang, Xiaojiao Tong, Xiao Luo, Bo Rao
Publication date: 15 April 2021
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556788.2020.1811705
stochastic dual dynamic programming (SDDP)CVaR-based SAA modeltwo-stage distributionally robust optimization (TDRO)
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