collaborators

1 paper

math.OC2023

A Multicut Approach to Compute Upper Bounds for Risk-Averse SDDP

Joaquim Dias Garcia, Iago Leal, Raphael Chabar +1

Stochastic Dual Dynamic Programming (SDDP) is a widely used and fundamental algorithm for solving multistage stochastic optimization problems. Although SDDP has been frequently app…