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On the convergence of SDDP and related algorithms

On the convergence of SDDP and related algorithms. Speaker: Ziming Guan Supervisor: A. B. Philpott Sponsor: Fonterra New Zealand. Motivation. Pereira and Pinto, Multi-Stage Stochastic Optimization Applied to Energy Planning, Mathematical Programming, 52, pp. 359-375, 1991. Summary.

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On the convergence of SDDP and related algorithms