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8

ORL
2008

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On the convergence of stochastic dual dynamic programming and related methods

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On the convergence of stochastic dual dynamic programming and related methods

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We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness of the set of distinct cut coefficients. This differs from existing published proofs in that it does not require a restrictive assumption.

Andrew B. Philpott, Z. Guan

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Almost-sure Convergence | Distinct Cut Coefficients | Multi-stage Stochastic Linear | ORL 2006 | ORL 2008 |

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Added	28 Dec 2010
Updated	28 Dec 2010
Type	Journal
Year	2008
Where	ORL
Authors	Andrew B. Philpott, Z. Guan

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