Constant Depth Decision Rules for Multistage Stochastic Convex Programs

In this paper, we introduce a new class of decision rules called Constant Depth Decision Rules (CDDRs) for Multistage Stochastic Convex Programs (MSCP) depending on a parame- ter Mi called the depth of the decision rules. More precisely, the decision for stage t is expressed as the sum of t function...

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Bibliographic Details
Main Author: Guigues, Vincent Gérard Yannick (author)
Other Authors: Juditsky, Anatoli (author), Nemirovski, Arkadi Semenovich (author)
Format: article
Language:eng
Published: 2020
Subjects:
Robust Optimization
Decision rules
Stochastic Programming
SDDP
Matemática
Processo estocástico
Otimização matemática
Online Access:https://hdl.handle.net/10438/29231
Country:Brazil
Oai:oai:bibliotecadigital.fgv.br:10438/29231

Internet

https://hdl.handle.net/10438/29231

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