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A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems.

Xiaojiao TongLiu YangXiao LuoBo Rao
Published in: Optim. Methods Softw. (2020)
Keyphrases
  • dynamic programming
  • robust optimization
  • pairwise
  • chance constrained
  • objective function
  • multistage
  • stochastic programming
  • cooperative
  • computational complexity
  • cost function
  • graphical models