Stochastic dynamic cutting plane for multistage stochastic convex programs

DOI10.1007/S10957-021-01842-XzbMath1470.90059arXiv1912.11946OpenAlexW3137164884MaRDI QIDQ2032005

Renato D. C. Monteiro, Vincent Guigues

Publication date: 15 June 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.11946

zbMATH Keywords

stochastic programmingSDDPinexact cuts for value functionsinexact SDDP

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Related Items (2)

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems ⋮ StoDCuP

Uses Software

• Mosek
• MSPPy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Improving the performance of stochastic dual dynamic programming
• Evaluating policies in risk-averse multi-stage stochastic programming
• Analysis of stochastic dual dynamic programming method
• Proximity control in bundle methods for convex nondifferentiable minimization
• On the convergence of stochastic dual dynamic programming and related methods
• Partitioning procedures for solving mixed-variables programming problems
• Multi-stage stochastic optimization applied to energy planning
• Dual dynamic programming with cut selection: convergence proof and numerical experiments
• SDDP for multistage stochastic linear programs based on spectral risk measures
• New variants of bundle methods
• Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
• Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
• Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
• An aggregate subgradient method for nonsmooth convex minimization
• Approximate Dynamic Programming
• The Cutting-Plane Method for Solving Convex Programs
• Lectures on Stochastic Programming
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Periodical Multistage Stochastic Programs
• Inexact Cuts in Stochastic Dual Dynamic Programming
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
• Optimization of Convex Risk Functions
• Conditional Risk Mappings
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Handbook of semidefinite programming. Theory, algorithms, and applications

This page was built for publication: Stochastic dynamic cutting plane for multistage stochastic convex programs