Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality

Vincent Leclère, Pierre Carpentier, Jean-Philippe Chancelier, Arnaud Lenoir, François Pacaud. Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality. SIAM Journal on Optimization, 30(2):1223-1250, 2020. [doi]

Abstract

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