Analysis of stochastic dual dynamic programming method

By Alexander Shapiro. European Journal of Operational Research, 2011

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Stochastic dual dynamic integer programming (2018, methodology): “The SDDP algorithm has also been embedded in the scenario tree framework [72], and extended to risk averse multistage linear programming problems [80,82].”
Sampling strategies and stopping criteria for stochastic dual dynamic programming: a case study in long-term hydrothermal scheduling (2011, methodology): “Shapiro [ 36 ] also points out to problems with this stopping criterion in his analysis of the SDDP method.”
Lectures on Stochastic Programming: Modeling and Theory (2009, methodology): “Alexander Shapiro, Darinka Dentcheva, and Andrzej Ruszczyński i i “SPbook” — 2013/12/24 — 8:37 — page vi — #6 i i i i i i i i “SPbook” — 2013/12/24 — 8:37 — page vii — #7 i i i i i i Contents Preface iii”
Monte Carlo sampling-based methods for stochastic optimization (2014, methodology): “For details on this result, as well as an extension to the constrained case, we refer to King and Rockafellar [133], Shapiro [217], and Rubinstein and Shapiro [210].”