MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.
Here, the three inequalities follow from H ¨older’s inequality, the sub- Gaussianity ofz 1 andz 2 and the monotonicity of the exponential function, respectively
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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.