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Complexity of stochastic dual dynamic programming |
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| Authors: | Lan Guanghui |
| Institution: | 1.H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, 30332, USA ; |
| Abstract: | Mathematical Programming - Stochastic dual dynamic programming is a cutting plane type algorithm for multi-stage stochastic optimization originated about 30 years ago. In spite of its popularity in... |
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