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Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation - MaRDI portal

Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation

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Publication:6409113

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DOI10.1137/22M151830XarXiv2208.13522OpenAlexW4293566177MaRDI QIDQ6409113

Pierre Carpentier, Jean-Philippe Chancelier, Michel De Lara

Publication date: 29 August 2022

Full work available at URL: https://doi.org/10.1137/22m151830x

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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