Sampling-Based Decomposition Algorithms for Multistage Stochastic Programming
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-54621-2_845-1
Reference22 articles.
1. Asamov T, Powell W (2018) Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty. SIAM J Optim 28(1):575–595
2. Birge JR (1985) Decomposition and partitioning methods for multistage stochastic linear programs. Oper Res 33(5):989–1007
3. Chen ZL, Powell WB (1999) Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse. J Optim Theory Appl 102(3):497–524
4. Donohue C, Birge JR (2006) The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse. Algorithmic Oper Res 1(1):10–20
5. Gangammanavar H, Sen S (2021) Stochastic dynamic linear programming: a sequential sampling algorithm for multistage stochastic linear programming. SIAM J Optim 31(3):2111–2140
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