MIDAS: a mixed integer dynamic approximation scheme

DOI10.1007/S10107-019-01368-1MaRDI QIDQ2188240zbMATH OpenOpenAlexFDO

Authors F. Wahid, A. B. Philpott, J. Frédéric Bonnans

Publication date 10 June 2020

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/hal-01401950/file/MIDAS.pdf

zbMATH Keywords

samplingstochastic programmingmixed integer programmingapproximate dynamic programming

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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Cites work

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• Approximate Dynamic Programming
• Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Dynamic programming and optimal control. Vol. 1.
• Energy contracts management by stochastic programming techniques
• Long- and Medium-term Operations Planning and Stochastic Modelling in Hydro-dominated Power Systems Based on Stochastic Dual Dynamic Programming
• Multi-stage stochastic optimization applied to energy planning
• On complexity of multistage stochastic programs
• On the convergence of decomposition methods for multistage stochastic convex programs
• On the convergence of stochastic dual dynamic programming and related methods
• Stochastic dual dynamic integer programming
• Stochastic dual dynamic programming applied to nonconvex hydrothermal models
• Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
• The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse

Cited in

(12)

• Duality and sensitivity analysis of multistage linear stochastic programs
• An approximate dynamic programming approach for solving aircraft fleet engine maintenance problem: methodology and a case study
• A generalized Benders decomposition approach for the optimal design of a local multi-energy system
• Stochastic Lipschitz dynamic programming
• Complexity of stochastic dual dynamic programming
• On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
• Stochastic dual dynamic integer programming
• Optimal crashing of an activity network with disruptions
• Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
• scientific article; zbMATH DE number 7733446 (Why is no real title available?)
• Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
• Stochastic dual dynamic programming and its variants: a review

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