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On conditional cuts for Stochastic Dual Dynamic Programming
[article]
2019
arXiv
pre-print
Multi stage stochastic programs arise in many applications from engineering whenever a set of inventories or stocks has to be valued. Such is the case in seasonal storage valuation of a set of cascaded reservoir chains in hydro management. A popular method is Stochastic Dual Dynamic Programming (SDDP), especially when the dimensionality of the problem is large and Dynamic programming no longer an option. The usual assumption of SDDP is that uncertainty is stage-wise independent, which is highly
arXiv:1704.06205v2
fatcat:frc2dcbkrjek7c4czye7twh7xa