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Risk neutral and risk averse Stochastic Dual Dynamic Programming method.

Alexander ShapiroWajdi TekayaJoari Paulo da CostaMurilo Pereira Soares
Published in: Eur. J. Oper. Res. (2013)
Keyphrases
  • dynamic programming
  • risk averse
  • risk neutral
  • cost function
  • objective function
  • stochastic programming
  • decision makers
  • optimal control
  • risk aversion