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Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty.
Weini Zhang
Hamed Rahimian
Güzin Bayraksan
Published in:
INFORMS J. Comput. (2016)
Keyphrases
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multistage
risk averse
stochastic programming
risk neutral
learning algorithm
production system
simulated annealing
optimization problems
reinforcement learning
special case
probability distribution
markov chain
utility function
linear program