Value function gradient learning for large-scale multistage stochastic programming problems

DOI10.1016/j.ejor.2022.10.011arXiv2205.08934OpenAlexW4304890588MaRDI QIDQ6167416

Yongjae Lee, Jinkyu Lee, Unnamed Author, Woo Chang Kim

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/2205.08934

zbMATH Keywords

large-scale optimizationmultistage stochastic programmingdecision processesvalue function approximationstagewise decomposition

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

Large-scale financial planning via a partially observable stochastic dual dynamic programming framework

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