On the convergence of stochastic dual dynamic programming and related methods

On the convergence of stochastic dual dynamic programming and related methods

0.00 Avg rating0 Votes
Article ID: iaor20102862
Volume: 36
Issue: 4
Start Page Number: 450
End Page Number: 455
Publication Date: Jul 2008
Journal: Operations Research Letters
Authors: ,
Keywords: programming: dynamic
Abstract:

We discuss the almost-sure convergence of a broad class of sampling algorithms for multistage 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.

Reviews

Required fields are marked *. Your email address will not be published.