| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
A. B. Philpott, University of Auckland Z. Guan, University of Auckland | Title: | On the convergence of stochastic dual dynamic programming and related methods |
| Date of Acceptance: | 06.03.2008 |
| Submission Date: | 06.03.2008 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Complete Preprint: | pdf (urn:nbn:de:kobv:11-10086956) |
| Keywords (eng): | Benders decomposition, multi-stage stochastic programming, Monte-Carlo sampling |
| To appear in: | OR-Letters |
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| We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage 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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