most citedCertainty Equivalence Control-Based Heuristics in Multi-Stage Convex Stochastic Optimization Problems

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math.OC2023★ 2 cited

Certainty Equivalence Control-Based Heuristics in Multi-Stage Convex Stochastic Optimization Problems

Chen Yan, Alexandre Reiffers-Masson

We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in…