Stochastic Lipschitz dynamic programming

DOI10.1007/s10107-020-01569-zzbMath1489.90072arXiv1905.02290OpenAlexW3094694511MaRDI QIDQ2118094

Yanyan Li

Publication date: 22 March 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.02290

zbMATH Keywords

stochastic optimizationmixed integer optimizationaugmented Lagrangian dualityLipschitz cuts

Mathematics Subject Classification ID

Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (1)

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

Uses Software

• Gurobi
• Julia
• GitHub
• SDDP

Cites Work

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