Value function gradient learning for large-scale multistage stochastic programming problems
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DOI: 10.1016/j.ejor.2022.10.011
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- Wu, Weitiao & Li, Yu, 2024. "Pareto truck fleet sizing for bike relocation with stochastic demand: Risk-averse multi-stage approximate stochastic programming," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 183(C).
- Chung-Han Hsieh & Jie-Ling Lu, 2024. "On Accelerating Large-Scale Robust Portfolio Optimization," Papers 2408.07879, arXiv.org.
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Keywords
Decision processes; Large-scale optimization; Multistage stochastic programming; Stagewise decomposition; Value function approximation;All these keywords.
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