2 citations · 2 across the 1 of their papers we have counts for
2 papers
math.OC2019
Stochastic Lipschitz Dynamic Programming
Shabbir Ahmed, Filipe Goulart Cabral, Bernardo Freitas Paulo da Costa
We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane m…
math.OC2017★ 2 cited
Nested distance for stagewise-independent processes
Filipe Goulart Cabral, Bernardo Freitas Paulo da Costa
We prove that, for two discrete-time stagewise-independent processes with a stagewise metric, the nested distance is equal to the sum of the Wasserstein distances between the margi…