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Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems

Vincent Guigues, Renato D. C. Monteiro, Benar Fux Svaiter. Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems. SIAM Journal on Optimization, 31(3):2084-2110, 2021. [doi]

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