Information Relaxations and Duality in Stochastic Dynamic Programs - Brown, David B.; Smith, James E.
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Reviews the information relaxation approach which works by reducing a complex stochastic Dynamic Programming to a series of scenario-specific deterministic optimization problems solved within a Monte Carlo simulation.

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Reviews the information relaxation approach which works by reducing a complex stochastic Dynamic Programming to a series of scenario-specific deterministic optimization problems solved within a Monte Carlo simulation.