Dual SDDP for risk-averse multistage stochastic programs.

Bernardo Freitas Paulo da Costa Vincent Leclère

Published in: Oper. Res. Lett. (2023)

Keyphrases

risk averse
multistage
stochastic programming
risk neutral
risk aversion
single stage
production system
dynamic programming
lot sizing
stochastic optimization
utility function
optimal policy
decision makers
primal dual
portfolio management
optimization problems
optimal solution