most citedSingle cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

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math.OC2019★ 9 cited

Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

Vincent Guigues, Michelle Bandarra

We introduce a variant of Multicut Decomposition Algorithms (MuDA), called CuSMuDA (Cut Selection for Multicut Decomposition Algorithms), for solving multistage stochastic linear p…