Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems (Q5152472): Difference between revisions

Latest revision as of 09:45, 30 July 2024

scientific article; zbMATH DE number 7400477

Language	Label	Description	Also known as
English	Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems	scientific article; zbMATH DE number 7400477

Statements

instance of

scholarly article

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title

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems (English)

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author

Vincent Guigues

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Renato D. C. Monteiro

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Benar Fux Svaiter

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published in

SIAM Journal on Optimization

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publication date

24 September 2021

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full work available at URL

https://arxiv.org/abs/2004.02701

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zbMATH Keywords

stochastic optimization

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SDDP

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inexact cuts for value functions

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inexact SDDP

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describes a project that uses

StoDCuP

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Mosek

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MaRDI profile type

MaRDI publication profile

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cites work

Q3182207

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Adjustable robust solutions of uncertain linear programs

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Lectures on Modern Convex Optimization

0 references

Partitioning procedures for solving mixed-variables programming problems

0 references

Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

0 references

Q3415352

0 references

Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

0 references

On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs

0 references

Inexact stochastic mirror descent for two-stage nonlinear stochastic programs

0 references

SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

0 references

Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs

0 references

Inexact Cuts in Stochastic Dual Dynamic Programming

0 references

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

0 references

Stochastic dynamic cutting plane for multistage stochastic convex programs

0 references

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures

0 references

Accelerating Block-Decomposition First-Order Methods for Solving Composite Saddle-Point and Two-Player Nash Equilibrium Problems

0 references

Stochastic decomposition. A statistical method for large scale stochastic linear programming

0 references

Stochastic dual dynamic integer programming

0 references

Evaluating policies in risk-averse multi-stage stochastic programming

0 references

Primal and dual linear decision rules in stochastic and robust optimization

0 references

Risk neutral reformulation approach to risk averse stochastic programming

0 references

Smooth minimization of non-smooth functions

0 references

Multi-stage stochastic optimization applied to energy planning

0 references

MIDAS: a mixed integer dynamic approximation scheme

0 references

On the convergence of stochastic dual dynamic programming and related methods

0 references

Approximate Dynamic Programming

0 references

Analysis of stochastic dual dynamic programming method

0 references

Lectures on Stochastic Programming

0 references

Periodical Multistage Stochastic Programs

0 references

Inexact Cuts in Benders Decomposition

0 references

Identifiers

zbMATH Open document ID

1477.90048

0 references

DOI

10.1137/20M1330075

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5152472

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+Partitioning procedures for solving mixed-variables programming problems
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+On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
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+Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
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+SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
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+Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
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+Stochastic dynamic cutting plane for multistage stochastic convex programs
+Normal rank
@@ Property / cites work @@
+Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
+Normal rank
@@ Property / cites work @@
+Accelerating Block-Decomposition First-Order Methods for Solving Composite Saddle-Point and Two-Player Nash Equilibrium Problems
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+Stochastic decomposition. A statistical method for large scale stochastic linear programming
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+Stochastic dual dynamic integer programming
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+Evaluating policies in risk-averse multi-stage stochastic programming
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+Primal and dual linear decision rules in stochastic and robust optimization
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+Risk neutral reformulation approach to risk averse stochastic programming
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+Smooth minimization of non-smooth functions
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+Multi-stage stochastic optimization applied to energy planning
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+MIDAS: a mixed integer dynamic approximation scheme
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+On the convergence of stochastic dual dynamic programming and related methods
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+Approximate Dynamic Programming
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+Analysis of stochastic dual dynamic programming method
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+Periodical Multistage Stochastic Programs
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