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math.OC2020★ 1 cited
Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
Harsha Gangammanavar, Suvrajeet Sen
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. A…
math.OC2017★ 9 cited
On Synchronous, Asynchronous, and Randomized Best-Response schemes for computing equilibria in Stochastic Nash games
Jinlong Lei, Uday V. Shanbhag, Jong-Shi Pang +1
This work considers a stochastic Nash game in which each player solves a parameterized stochastic optimization problem. In deterministic regimes, best-response schemes have been sh…