首页|ON THE CONVERGENCE OF SAMPLING ALGORITHMS FOR SOLVING DYNAMIC STOCHASTIC PROGRAMMING
ON THE CONVERGENCE OF SAMPLING ALGORITHMS FOR SOLVING DYNAMIC STOCHASTIC PROGRAMMING
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NETL
NSTL
After describing a general sampling discretization algorithm for multistage continuous stochastic programming problems, we prove the global convergence of the al- gorithm under suitable conditions. The converence of most available algorithms as well as new algorithms can thus be derived or improved as a special case of this general result.
NETL
NSTL
