Reus, Lorenzo; Sepúlveda-Hurtado, Guillermo Alexander - In: Financial innovation : FIN 9 (2023) 1, pp. 1-38
programming (MSP) model and solve it using the stochastic dual dynamic programming (SDDP) numerical method, which specializes in … solving high-dimensional MSP models. We construct our methodology within an open-source SDDP package, avoiding implementing …
