摘要
After describing a general sampling discretization algorithm for multistage continuous stochastic programming problems, we prove the global convergence of the al- gorithm under suitable conditions. The convergence of most available algorithms as well as new algorithms can thus be derived or improved as a special case of this general result.
After describing a general sampling discretization algorithm for multistage continuous stochastic programming problems, we prove the global convergence of the al- gorithm under suitable conditions. The convergence of most available algorithms as well as new algorithms can thus be derived or improved as a special case of this general result.
