2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.OC2021
Dual SDDP for risk-averse multistage stochastic programs
Bernardo Freitas Paulo da Costa, Vincent Leclère
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such pr…
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…