On conditional cuts for stochastic dual dynamic programming
- 30 March 2020
- journal article
- research article
- Published by Elsevier BV in EURO Journal on Computational Optimization
- Vol. 8 (2), 173-199
- https://doi.org/10.1007/s13675-020-00123-y
Abstract
No abstract availableKeywords
This publication has 61 references indexed in Scilit:
- Risk neutral and risk averse Stochastic Dual Dynamic Programming methodEuropean Journal of Operational Research, 2013
- Asset-liability management for Czech pension funds using stochastic programmingAnnals of Operations Research, 2008
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equationsBernoulli, 2006
- A regression-based Monte Carlo method to solve backward stochastic differential equationsThe Annals of Applied Probability, 2005
- Strategic Bidding Under Uncertainty: A Binary Expansion ApproachIEEE Transactions on Power Systems, 2005
- Functional quantization for numerics with an application to option pricingmcma, 2005
- Scenario reduction in stochastic programmingMathematical Programming, 2003
- Optimal quadratic quantization for numerics: the Gaussian casemcma, 2003
- Integrated risk management of hydro power scheduling and contract managementIEEE Transactions on Power Systems, 2001
- Applications of Malliavin calculus to Monte Carlo methods in financeFinance and Stochastics, 1999