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

DOI10.1007/s10589-021-00323-1zbMath1484.90057OpenAlexW3209195245MaRDI QIDQ2070338

Murwan Siddig, Yongjia Song

Publication date: 24 January 2022

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-021-00323-1

zbMATH Keywords

stochastic optimizationmultistage stochastic linear programsSDDP algorithmpartition-based approach

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

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Uses Software

• Gurobi
• JuMP

Cites Work

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