A Nonconvex Regularization Scheme for the Stochastic Dual Dynamic Programming Algorithm

DOI10.1287/IJOC.2021.0255MaRDI QIDQ6200148zbMATH OpenOpenAlexFDO

Authors Arnab Bhattacharya, Jeffrey P. Kharoufeh, Bo Zeng

Publication date 22 March 2024

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2021.0255

zbMATH Keywords

nonconvex regularizationsampling-based decompositionSDDPstochastic programming

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cited in

(2)

• Stochastic dual dynamic programming and its variants: a review
• Stochastic dual dynamic programming approach for cash-flow inventory problems with overdraft

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