22 citations · 22 across the 5 of their papers we have counts for
3 papers · 1 filter
Generalized adaptive partition-based method for two-stage stochastic linear programs : convergence and generalization
Maël Forcier, Vincent Leclère
Adaptive Partition-based Methods (APM) are numerical methods to solve two-stage stochastic linear problems (2SLP). The core idea is to iteratively construct an adapted partition of…
Exact quantization of multistage stochastic linear problems
Maël Forcier, Stéphane Gaubert, Vincent Leclère
We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. We establish this exact quantization result…
Dual SDDP for risk-averse multistage stochastic programs
Bernardo Freitas Paulo da Costa, Vincent Leclère
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such pr…