Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality

DOI10.1137/19M1258876zbMath1444.90086OpenAlexW2795864577MaRDI QIDQ5110555

Vincent Leclère, Arnaud Lenoir, Jean-Philippe Chancelier, Pierre Carpentier, François Pacaud

Publication date: 20 May 2020

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1258876

zbMATH Keywords

stochastic programmingdynamic programmingSDDPFenchel conjugacy

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Duality theory (optimization) (49N15)

Related Items (9)

Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ Risk-averse stochastic optimal control: an efficiently computable statistical upper bound ⋮ A multistage distributionally robust optimization approach to water allocation under climate uncertainty ⋮ Dual SDDP for risk-averse multistage stochastic programs ⋮ Duality and sensitivity analysis of multistage linear stochastic programs ⋮ Decomposition of convex high dimensional aggregative stochastic control problems ⋮ Unnamed Item ⋮ Distributionally Robust Stochastic Dual Dynamic Programming ⋮ Complexity of stochastic dual dynamic programming

Uses Software

• JuMP

Cites Work

• Unnamed Item
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