## Sample Average Approximation and Model Predictive Control for Multistage Stochastic Optimization

Sample average approximation-based stochastic dynamic programming and model predictive control are two different methods of approaching multistage stochastic optimization. Model predictive control—despite a lack of theoretical backing—is often used instead of stochastic dynamic programming due to computational necessity. For settings where the stage reward is a convex function of the random terms, the stage dynamics … Read more