Inexact Cuts in Stochastic Dual Dynamic Programming

DOI10.1137/18M1211799zbMath1430.90444arXiv1809.02007OpenAlexW3004455734MaRDI QIDQ5215519

Vincent Guigues

Publication date: 12 February 2020

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

Full work available at URL: https://arxiv.org/abs/1809.02007

zbMATH Keywords

stochastic programmingSDDPinexact cuts for value functionsinexact SDDPbounding epsilon-optimal dual solutions

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (10)

Duality and sensitivity analysis of multistage linear stochastic programs ⋮ Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality ⋮ Unnamed Item ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems ⋮ Constant depth decision rules for multistage optimization under uncertainty ⋮ Inexact stochastic mirror descent for two-stage nonlinear stochastic programs ⋮ A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure ⋮ Stochastic dynamic cutting plane for multistage stochastic convex programs ⋮ Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection

Uses Software

• Mosek

Cites Work

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• Inexact Cuts in Benders Decomposition
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs

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