Article ID Journal Published Year Pages File Type
1143065 Operations Research Letters 2008 6 Pages PDF
Abstract

We discuss the almost-sure convergence of a broad class of sampling algorithms for multistage 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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
On the convergence of stochastic dual dynamic programming and related methods
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