Analysis of stochastic dual dynamic programming method
نویسندگان
چکیده
منابع مشابه
Analysis of stochastic dual dynamic programming method
In this paper we discuss statistical properties and rates of convergence of the Stochastic Dual Dynamic Programming (SDDP) method applied to multistage linear stochastic programming problems. We assume that the underline data process is stagewise independent and consider the framework where at first a random sample from the original (true) distribution is generated and consequently the SDDP alg...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2011
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2010.08.007