On the convergence of stochastic dual dynamic programming and related methods
نویسندگان
چکیده
منابع مشابه
On the convergence of stochastic dual dynamic programming and related methods
We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness of the set of distinct cut coefficients. This differs from existing published proofs in that it does not require a restrictive assumption.
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2008
ISSN: 0167-6377
DOI: 10.1016/j.orl.2008.01.013