Two-stage linear decision rules for multi-stage stochastic programming (Q2118081): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Two-stage linear decision rules for multi-stage stochastic programming	scientific article

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scholarly article

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Two-stage linear decision rules for multi-stage stochastic programming (English)

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James R. Luedtke

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Mathematical Programming. Series A. Series B

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publication date

22 March 2022

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full work available at URL

https://arxiv.org/abs/1701.04102

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zbMATH Keywords

multi-stage stochastic programming

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linear decision rules

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two-stage approximation

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs

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Adjustable robust solutions of uncertain linear programs

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Robust optimization-methodology and applications

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Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

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Aggregation bounds in stochastic linear programming

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A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs

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The Scenario Approach to Robust Control Design

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The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

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A Linear Decision-Based Approximation Approach to Stochastic Programming

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

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Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems

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<tt>SDDP.jl</tt>: A Julia Package for Stochastic Dual Dynamic Programming

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Computational complexity of stochastic programming problems

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Duality for Stochastic Programming Interpreted as L. P. in $L_p $-Space

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Solving two-stage stochastic programming problems with level decomposition

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Feature Article: Optimization for simulation: Theory vs. Practice

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On decision rules in stochastic programming

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MSLiP: A computer code for the multistage stochastic linear programming problem

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Generalized decision rule approximations for stochastic programming via liftings

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On the Convergence of Decomposition Methods for Multistage Stochastic Convex 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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A comment on ``Computational complexity of stochastic programming problems''

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Scenario tree modeling for multistage stochastic programs

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Multistage stochastic convex programs: duality and its implications

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On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling

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Generating Scenario Trees for Multistage Decision Problems

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Cut sharing for multistage stochastic linear programs with interstage dependency

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Variance reduction in sample approximations of stochastic programs

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Primal and dual linear decision rules in stochastic and robust optimization

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New variants of bundle methods

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The empirical behavior of sampling methods for stochastic programming

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Monte Carlo bounding techniques for determinig solution quality in stochastic programs

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Robust Stochastic Approximation Approach to Stochastic Programming

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Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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Multi-stage stochastic optimization applied to energy planning

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Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

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On the convergence of stochastic dual dynamic programming and related methods

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Acceleration of Stochastic Approximation by Averaging

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Approximate Dynamic Programming

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A Stochastic Approximation Method

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Scenarios and Policy Aggregation in Optimization Under Uncertainty

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A regularized decomposition method for minimizing a sum of polyhedral functions

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

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Stochastic programming approach to optimization under uncertainty

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Analysis of stochastic dual dynamic programming method

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On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs

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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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A constraint sampling approach for multi-stage robust optimization

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Applications of Stochastic Programming

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10107-018-1339-4

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Sitelinks

Mathematics(1 entry)

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