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scientific article; zbMATH DE number 7733446

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7733446

Statements

scholarly article

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Vincent Leclère

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publication date

1 September 2023

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full work available at URL

https://www.heldermann.de/JCA/JCA30/JCA303/jca30045.htm

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zbMATH Keywords

multistage stochastic programming

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SDDP

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duality

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MaRDI profile type

MaRDI publication profile

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Coherent Measures of Risk

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Coherent multiperiod risk adjusted values and Bellman's principle

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Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty

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Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

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Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse

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The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

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Stochastic dual dynamic programming applied to nonconvex hydrothermal models

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Dual SDDP for risk-averse multistage stochastic programs

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Triangulations. Structures for algorithms and applications

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Stochastic dual dynamic programming with stagewise-dependent objective uncertainty

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Partially observable multistage stochastic programming

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Applications of stochastic programming: Achievements and questions

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Distributionally Robust Stochastic Dual Dynamic Programming

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Generalized adaptive partition-based method for two-stage stochastic linear programs: geometric oracle and analysis

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Barycentric scenario trees in convex multistage stochastic programming

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Robust Dual Dynamic Programming

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On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs

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Long- and Medium-term Operations Planning and Stochastic Modelling in Hydro-dominated Power Systems Based on Stochastic Dual Dynamic Programming

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Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs

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Inexact Cuts in Stochastic Dual Dynamic Programming

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Regularized stochastic dual dynamic programming for convex nonlinear optimization problems

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A comment on ``Computational complexity of stochastic programming problems''

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Generalized bounds for convex multistage stochastic programs.

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Correction to: ``Complexity of stochastic dual dynamic programming''

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

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Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality

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An empirical analysis of scenario generation methods for stochastic optimization

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A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem

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Bounds in multistage linear stochastic programming

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Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs

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Understanding and using linear programming

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Multi-stage stochastic optimization applied to energy planning

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A Distance For Multistage Stochastic Optimization Models

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On Solving Multistage Stochastic Programs with Coherent Risk Measures

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On the convergence of stochastic dual dynamic programming and related methods

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MIDAS: a mixed integer dynamic approximation scheme

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Generalized adaptive partition-based method for two-stage stochastic linear programs with fixed recourse

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Scenarios and Policy Aggregation in Optimization Under Uncertainty

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Variational Analysis

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On complexity of multistage stochastic programs

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Analysis of stochastic dual dynamic programming method

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Periodical Multistage Stochastic Programs

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Risk neutral and risk averse stochastic dual dynamic programming method

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Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse

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An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse

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Variation of cost functions in integer programming

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On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems

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<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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Lifting projections of convex polyhedra

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Applications of Stochastic Programming

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Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization

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Stochastic dual dynamic integer programming

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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