Dual SDDP for risk-averse multistage stochastic programs
نویسندگان
چکیده
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool address such problems under time-independence assumptions. We show how derive dual formulation for these apply an SDDP algorithm, leading converging deterministic upper bounds risk-averse problems.
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2023
ISSN: ['0167-6377', '1872-7468']
DOI: https://doi.org/10.1016/j.orl.2023.04.001