Numerical Methods for Convex Multistage Stochastic Optimization.

Guanghui Lan Alexander Shapiro

Published in: CoRR (2023)

Keyphrases

stochastic optimization
multistage
numerical methods
differential equations
stochastic programming
partial differential equations
single stage
dynamic programming
saddle point
lot sizing
convex optimization
computer architecture
level set method
optimal policy
multiresolution
image processing
computer vision