On the convergence of stochastic dual dynamic programming and related methods |
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| Authors: | A.B. Philpott Z. Guan |
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| Affiliation: | aDepartment of Engineering Science, The University of Auckland, Private Bag 92019, Auckland, New Zealand |
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| Abstract: | We discuss the almost-sure convergence of a broad class of sampling algorithms for multistage stochastic linear programs. We provide a convergence proof based on the finiteness of the set of distinct cut coefficients. This differs from existing published proofs in that it does not require a restrictive assumption. |
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| Keywords: | Multistage stochastic programming Monte-Carlo sampling Benders decomposition |
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