MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.
Multilevel Monte Carlo path simulation.Operations Research, 56(3):607–617, 2008
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Multistage Conditional Compositional Optimization
MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.