Stochastic dual dynamic integer programming (Q2414913)

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Language	Label	Description	Also known as
English	Stochastic dual dynamic integer programming	scientific article

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scholarly article

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Stochastic dual dynamic integer programming (English)

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Mathematical Programming. Series A. Series B

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publication date

17 May 2019

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zbMATH Keywords

multistage stochastic integer programming

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binary state variables

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nested decomposition

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stochastic dual dynamic programming

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10107-018-1249-5

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An Approximation Scheme for Stochastic Integer Programs Arising in Capacity Expansion

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A multi-stage stochastic integer programming approach for capacity expansion under uncertainty

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BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.

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Improving the Integer L-Shaped Method

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Branch-and-Price: Column Generation for Solving Huge Integer Programs

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Partitioning procedures for solving mixed-variables programming problems

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

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Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming

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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty

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Dual decomposition in stochastic integer programming

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Stochastic Power Generation Unit Commitment in Electricity Markets: A Novel Formulation and a Comparison of Solution Methods

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Stochastic dual dynamic programming applied to nonconvex hydrothermal models

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Re-solving stochastic programming models for airline revenue management

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Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

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A scenario-based stochastic programming approach for technology and capacity planning

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Multi-stage stochastic linear programs for portfolio optimization

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Mathematical programming for network revenue management revisited

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Production planning via scenario modelling

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Cluster Lagrangean decomposition in multistage stochastic optimization

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Short-term hydropower production planning by stochastic programming

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Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs

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On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs

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Improved Linear Integer Programming Formulations of Nonlinear Integer Problems

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A stochastic programming model for money management

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Solving Mixed Integer Bilinear Problems Using MILP Formulations

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Relaxations and discretizations for the pooling problem

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Stability of Multistage Stochastic Programs

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Generating Scenario Trees for Multistage Decision Problems

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Cut sharing for multistage stochastic linear programs with interstage dependency

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SOCRATES: A system for scheduling hydroelectric generation under uncertainty

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Generalized bounds for convex multistage stochastic programs.

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The integer \(L\)-shaped method for stochastic integer programs with complete recourse

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Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling

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Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming

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Airline network revenue management by multistage stochastic programming

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Stochastic Network Programming for Financial Planning Problems

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Stochastic Lagrangian relaxation applied to power scheduling in a hydro-thermal system under uncertainty

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On the Value of Binary Expansions for General Mixed-Integer Linear Programs

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Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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Multi-stage stochastic optimization applied to energy planning

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Scenario tree generation for multiperiod financial optimization of optimal discretization

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MIDAS: a mixed integer dynamic approximation scheme

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Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

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On the convergence of stochastic dual dynamic programming and related methods

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Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs

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Scenarios and Policy Aggregation in Optimization Under Uncertainty

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A Scalable Bounding Method for Multistage Stochastic Programs

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A Stochastic Programming Approach to Power Portfolio Optimization

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Inference of statistical bounds for multistage stochastic programming problems

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On a time consistency concept in risk averse multistage stochastic programming

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Analysis of stochastic dual dynamic programming method

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Minimax and risk averse multistage stochastic programming

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Risk neutral and risk averse stochastic dual dynamic programming method

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Dantzig-Wolfe Decomposition for Solving Multistage Stochastic Capacity-Planning Problems

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Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem

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Lagrangian Solution Techniques and Bounds for Loosely Coupled Mixed-Integer Stochastic Programs

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Convex extensions and envelopes of lower semi-continuous functions

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Identifiers

zbMATH Open document ID

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10.1007/s10107-018-1249-5

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2414913

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