Z. Artstein, Sensitivity to ??-fields of information in stochastic allocation>, Stochastics An International Journal of Probability and Stochastic Processes, vol.36, issue.1, pp.41-63, 1991.
DOI : 10.1080/17442509108833708

S. [. Bellman and . Dreyfus, Functional approximations and dynamic programming, Math tables and other aides to computation, pp.247-251, 1959.
DOI : 10.2307/2002797

URL : http://www.dtic.mil/get-tr-doc/pdf?AD=AD0606538

]. R. Bel57 and . Bellman, Dynamic programming, Ber00] D. P. Bertsekas, Dynamic programming and optimal control, 1957.

K. Barty, J. Roy, and C. Strugarek, A stochastic gradient type algorithm for closed-loop problems, Mathematical Programming, vol.12, issue.2, 2007.
DOI : 10.1007/s10107-007-0201-x

URL : https://hal.archives-ouvertes.fr/hal-00983337

J. [. Bertsekas and . Tsitsiklis, Decomposition Coordination Algorithms for Stochastic Optimization, Neuro-Dynamic Programming, pp.1372-1403, 1990.

]. G. Coh80 and . Cohen, Auxiliary Problem Principle and decomposition of optimization problems, J. Optimization Theory Appl, issue.32, pp.277-305, 1980.

J. M. Danskin, D. P. De-farias, and B. Van-roy, The theory of max-min The Linear Programming Approach to Approximate Dynamic Programming, Operations Research, vol.51, issue.6, pp.850-856, 1967.

R. [. Ekeland and . Temam, Convex analysis and variational problems, Studies in Advanced Mathematics, 1992.
DOI : 10.1137/1.9781611971088

H. Heitsch, W. Römisch, and C. Strugarek, Stability of Multistage Stochastic Programs, SIAM Journal on Optimization, vol.17, issue.2, pp.511-525, 2006.
DOI : 10.1137/050632865

URL : https://hal.archives-ouvertes.fr/hal-00977507

S. [. Higle and . Sen, Stochastic decomposition [Pen05] T. Pennanen, Epi-convergent discretizations of multistage stochastic programs, Mathematics of Operations Research, vol.30, pp.245-256, 1996.

]. A. Pré95, ]. A. Prékopasha06, and . Shapiro, Stochastic programming On complexity of multistage stochastic programs, Operations Research Letters, vol.34, pp.1-8, 1995.

J. N. Tstsiklis and B. Van-roy, Feature-based methods for large scale dynamic programming, Machine Learning, vol.22, pp.59-94, 1996.