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2008-03-06Buch DOI: 10.18452/8388
On the convergence of stochastic dual dynamic programming and related methods
dc.contributor.authorPhilpott, A. B.
dc.contributor.authorGuan, Z.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:16:53Z
dc.date.available2017-06-16T20:16:53Z
dc.date.created2008-03-11
dc.date.issued2008-03-06
dc.date.submitted2008-03-06
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9040
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBenders decompositioneng
dc.subjectmulti-stage stochastic programmingeng
dc.subjectMonte-Carlo samplingeng
dc.subject.ddc510 Mathematik
dc.titleOn the convergence of stochastic dual dynamic programming and related methods
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10086956
dc.identifier.doihttp://dx.doi.org/10.18452/8388
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages14
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue4
local.edoc.container-erstkatid2936317-2

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