MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.
Optimal stopping and sequential tests which minimize the maximum expected sample size.Annals of Statistics, pages 659–673
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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.