Browsing Projetos de Pesquisa Aplicada by Subject "Monte Carlo, Método de"
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Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
2016We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ...


