Duality and sensitivity analysis of multistage linear stochastic programs

DOI10.1016/j.ejor.2022.11.051arXiv1911.07080OpenAlexW2984206243MaRDI QIDQ6112560

Vincent Guigues, Alexander Shapiro, Yi Cheng

Publication date: 10 July 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.07080

zbMATH Keywords

stochastic optimizationsensitivity analysisSDDPrelatively complete recoursedual SDDP

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (1)

Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

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