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Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming.
Suvrajeet Sen
Zhihong Zhou
Published in:
SIAM J. Optim. (2014)
Keyphrases
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approximate dynamic programming
multistage stochastic
linear program
stochastic programming
linear programming
capacity planning
optimal solution
dynamic programming
primal dual
integer program
column generation
objective function
mixed integer
multistage
np hard
average cost
minimum cost
multi objective