Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty (Q4609463): Difference between revisions

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scientific article; zbMATH DE number 6855322

Language	Label	Description	Also known as
English	Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty	scientific article; zbMATH DE number 6855322

Statements

instance of

scholarly article

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title

Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty (English)

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SIAM Journal on Optimization

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publication date

3 April 2018

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full work available at URL

https://arxiv.org/abs/1505.02227

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zbMATH Keywords

multistage stochastic optimization

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quadratic regularization

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nested decomposition

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stochastic dual dynamic programming

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MaRDI profile type

MaRDI publication profile

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cites work

Time-consistent approximations of risk-averse multistage stochastic optimization problems

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Partitioning procedures for solving mixed-variables programming problems

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

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Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs

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Q3415352

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Two-stage portfolio optimization with higher-order conditional measures of risk

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Finite master programs in regularized stochastic decomposition

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Cut sharing for multistage stochastic linear programs with interstage dependency

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The Cutting-Plane Method for Solving Convex Programs

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On the convergence of sampling-based decomposition algorithms for multistage stochastic programs

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USE OF THE PAR(<i>p</i>) MODEL IN THE STOCHASTIC DUAL DYNAMIC PROGRAMMING OPTIMIZATION SCHEME USED IN THE OPERATION PLANNING OF THE BRAZILIAN HYDROPOWER SYSTEM

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An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling

0 references

Introductory lectures on convex optimization. A basic course.

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Multi-stage stochastic optimization applied to energy planning

0 references

On the convergence of stochastic dual dynamic programming and related methods

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Approximate Dynamic Programming

0 references

Q4315289

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Monotone Operators and the Proximal Point Algorithm

0 references

A regularized decomposition method for minimizing a sum of polyhedral functions

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Decomposition methods in stochastic programming

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Q3376534

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Risk-averse dynamic programming for Markov decision processes

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Accelerating the regularized decomposition method for two stage stochastic linear problems

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Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming

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Analysis of stochastic dual dynamic programming method

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Q2925334

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Risk neutral and risk averse stochastic dual dynamic programming method

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<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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Identifiers

zbMATH Open document ID

1395.90190

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DOI

10.1137/16M1072231

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4609463

@@ Property / cites work @@
+Time-consistent approximations of risk-averse multistage stochastic optimization problems
+Normal rank
@@ Property / cites work @@
+Partitioning procedures for solving mixed-variables programming problems
+Normal rank
@@ Property / cites work @@
+Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
+Normal rank
@@ Property / cites work @@
+Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
+Normal rank
@@ Property / cites work @@
+Q3415352
@@ Property / cites work: Q3415352 / rank @@
+Normal rank
@@ Property / cites work @@
+Two-stage portfolio optimization with higher-order conditional measures of risk
+Normal rank
@@ Property / cites work @@
+Finite master programs in regularized stochastic decomposition
+Normal rank
@@ Property / cites work @@
+Cut sharing for multistage stochastic linear programs with interstage dependency
+Normal rank
@@ Property / cites work @@
+The Cutting-Plane Method for Solving Convex Programs
+Normal rank
@@ Property / cites work @@
+On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
+Normal rank
@@ Property / cites work @@
+USE OF THE PAR(<i>p</i>) MODEL IN THE STOCHASTIC DUAL DYNAMIC PROGRAMMING OPTIMIZATION SCHEME USED IN THE OPERATION PLANNING OF THE BRAZILIAN HYDROPOWER SYSTEM
+Normal rank
@@ Property / cites work @@
+An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
+Normal rank
@@ Property / cites work @@
+Introductory lectures on convex optimization. A basic course.
+Normal rank
@@ Property / cites work @@
+Multi-stage stochastic optimization applied to energy planning
+Normal rank
@@ Property / cites work @@
+On the convergence of stochastic dual dynamic programming and related methods
+Normal rank
@@ Property / cites work @@
+Approximate Dynamic Programming
@@ Property / cites work: Approximate Dynamic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q4315289
@@ Property / cites work: Q4315289 / rank @@
+Normal rank
@@ Property / cites work @@
+Monotone Operators and the Proximal Point Algorithm
+Normal rank
@@ Property / cites work @@
+A regularized decomposition method for minimizing a sum of polyhedral functions
+Normal rank
@@ Property / cites work @@
+Decomposition methods in stochastic programming
@@ Property / cites work: Decomposition methods in stochastic programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q3376534
@@ Property / cites work: Q3376534 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-averse dynamic programming for Markov decision processes
+Normal rank
@@ Property / cites work @@
+Accelerating the regularized decomposition method for two stage stochastic linear problems
+Normal rank
@@ Property / cites work @@
+Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
+Normal rank
@@ Property / cites work @@
+Analysis of stochastic dual dynamic programming method
+Normal rank
@@ Property / cites work @@
+Q2925334
@@ Property / cites work: Q2925334 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk neutral and risk averse stochastic dual dynamic programming method
+Normal rank
@@ Property / cites work @@
+<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
+Normal rank