Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Theoretical Computer Science,Software
Link
https://epubs.siam.org/doi/pdf/10.1137/16M1072231
Reference25 articles.
1. Time-consistent approximations of risk-averse multistage stochastic optimization problems
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4. Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
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