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Algorithmic Operations Research
This paper describes models and solution algorithms for solving robust multistage decision problems under a special type of uncertainty model referred to here as parsimonious. The main interest of such a model is to provide compact representations of potentially huge scenario trees, leading to efficient dynamic programming-based computation of optimal strategies. Also, contrary to the case of most previously published work on similar problems, which essentially require an independencefatcat:5xhtgoinnzcbrbjy6w7viru5gi