PERIODICAL MULTISTAGE STOCHASTIC PROGRAMS

Shapiro, A; Ding, LQ

Shapiro, A (corresponding author), Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA.

SIAM JOURNAL ON OPTIMIZATION, 2020; 30 (3): 2083

Abstract

In some applications the considered multistage stochastic programs have a periodical behavior. We show that in such cases it is possible to drasticall......

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