Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
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DOI: 10.1007/s10287-021-00387-8
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- Guigues, Vincent & Shapiro, Alexander & Cheng, Yi, 2023. "Duality and sensitivity analysis of multistage linear stochastic programs," European Journal of Operational Research, Elsevier, vol. 308(2), pages 752-767.
- Lorenzo Reus & Guillermo Alexander Sepúlveda-Hurtado, 2023. "Foreign exchange trading and management with the stochastic dual dynamic programming method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
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Keywords
Stochastic programming; Stochastic dual dynamic programming; Multicut decomposition algorithm; Portfolio selection;All these keywords.
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