On conditional cuts for stochastic dual dynamic programming

Multistage stochastic programs arise in many applications from engineering whenever a set of inventories or stocks has to be valued. Such is the case in seasonal storage valuation of a set of cascaded reservoir chains in hydro management. A popular method is stochastic dual dynamic programming (SDDP...

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Autores principales: W. van Ackooij, X. Warin
Formato: article
Lenguaje:EN
Publicado: Elsevier 2020
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Acceso en línea:https://doaj.org/article/c48db89d44434951b699b68edbd0446e
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