Periodical Multistage Stochastic Programs

DOI10.1137/19M129406XzbMath1448.90066OpenAlexW3047197922MaRDI QIDQ5116550

Alexander Shapiro, Lingquan Ding

Publication date: 18 August 2020

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

Full work available at URL: https://doi.org/10.1137/19m129406x

zbMATH Keywords

decision rulesdynamic programmingfixed point theoremBellman equationsmultistage programsSDDP algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (5)

Unnamed Item ⋮ Unnamed Item ⋮ Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems ⋮ Stochastic dynamic cutting plane for multistage stochastic convex programs ⋮ Central limit theorem and sample complexity of stationary stochastic programs

Uses Software

• Python
• MSPPy

Cites Work

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• Stochastic optimal control. The discrete time case
• Multi-stage stochastic optimization applied to energy planning
• Dual dynamic programming with cut selection: convergence proof and numerical experiments
• Risk neutral and risk averse stochastic dual dynamic programming method
• Stochastic dual dynamic integer programming
• Coherent Measures of Risk
• Variational Analysis
• On Solving Multistage Stochastic Programs with Coherent Risk Measures
• Generalized Dual Dynamic Programming for Infinite Horizon Problems in Continuous State and Action Spaces
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
• Consistency of Sample Estimates of Risk Averse Stochastic Programs
• Stochastic finance. An introduction in discrete time

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