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Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems.

Vincent GuiguesRenato D. C. MonteiroBenar Fux Svaiter
Published in: SIAM J. Optim. (2021)
Keyphrases
  • dynamic programming
  • multistage stochastic
  • stochastic programming
  • search algorithm
  • search space
  • evolutionary algorithm
  • linear program
  • portfolio selection