Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
Author:
Funder
CNPq
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Control and Optimization
Link
https://link.springer.com/content/pdf/10.1007/s10589-022-00376-w.pdf
Reference27 articles.
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3. Infanger, G., Morton, D.P.: Cut sharing for multistage stochastic linear programs with interstage dependency. Math. Program. 75(2), 241–256 (1996)
4. Kelley, J.: The cutting-plane method for solving convex programs. J. Soc. Ind. Appl. Math. 8(1), 703–712 (1960)
5. Linderoth, J., Wright, S.: Decomposition algorithms for stochastic programming on a computational grid. Comput. Optim. Appl. 24(1), 207–250 (2003)
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