2008-03-06Buch DOI: 10.18452/8388
On the convergence of stochastic dual dynamic programming and related methods
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 cutcoefficients. This differs from existing published proofs in that it does not require a restrictive assumption.
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