Approximate dynamic programming for stochastic n-stage optimization with application to optimal consumption under uncertainty. Gaggero, M., Gnecco, G., & Sanguineti, M. Computational Optimization and Applications, 58(1):31–85, 2014.
bibtex   
@Article{SCC.Gaggero.Gnecco.ea2014,
  author    = {Gaggero, Mauro and Gnecco, Giorgio and Sanguineti, Marcello},
  title     = {Approximate dynamic programming for stochastic n-stage optimization with application to optimal consumption under uncertainty},
  journal   = {Computational Optimization and Applications},
  year      = {2014},
  volume    = {58},
  number    = {1},
  pages     = {31--85},
  owner     = {joelar},
  timestamp = {2015-01-01},
}

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