Cut sharing for multistage stochastic linear programs with interstage dependency
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Cites work
- scientific article; zbMATH DE number 3169929 (Why is no real title available?)
- scientific article; zbMATH DE number 4089324 (Why is no real title available?)
- scientific article; zbMATH DE number 4091201 (Why is no real title available?)
- scientific article; zbMATH DE number 4108484 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 824994 (Why is no real title available?)
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- A multicut algorithm for two-stage stochastic linear programs
- A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs
- A regularized decomposition method for minimizing a sum of polyhedral functions
- An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- MSLiP: A computer code for the multistage stochastic linear programming problem
- Modeling Multiple Times Series with Applications
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- Multi-stage stochastic optimization applied to energy planning
- Parallel processors for planning under uncertainty
- Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
- Stochastic two-stage programming
- Sublinear upper bounds for stochastic programs with recourse
- Tight Bounds for Stochastic Convex Programs
Cited in
(46)- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
- Non-convex nested Benders decomposition
- Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
- Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
- Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
- Distributionally robust SDDP
- Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Electric power infrastructure planning under uncertainty: stochastic dual dynamic integer programming (SDDiP) and parallelization scheme
- Multistage scenario-based interval-stochastic programming for planning water resources allocation
- Distributionally Robust Stochastic Dual Dynamic Programming
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
- On the convergence of stochastic dual dynamic programming and related methods
- On the solution variability reduction of stochastic dual dynamic programming applied to energy planning
- A new convergent hybrid learning algorithm for two-stage stochastic programs
- Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
- Identification of optimal plans for municipal solid waste management in an environment of fuzziness and two-layer randomness
- Stochastic dual dynamic integer programming
- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Planning of municipal solid waste management systems under dual uncertainties: a hybrid interval stochastic programming approach
- A fuzzy-robust stochastic multiobjective programming approach for petroleum waste management planning
- On conditional cuts for stochastic dual dynamic programming
- Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
- A parallel hub-and-spoke system for large-scale scenario-based optimization under uncertainty
- Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem
- Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- Simulation-based confidence bounds for two-stage stochastic programs
- Two-stage linear decision rules for multi-stage stochastic programming
- A hybrid inexact-stochastic water management model
- Intelligent control and optimization under uncertainty with application to hydro power
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Multistage quadratic stochastic programming
- Energy contracts management by stochastic programming techniques
- The policy graph decomposition of multistage stochastic programming problems
- Robust Dual Dynamic Programming
- A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
- A multi-stage stochastic optimization model of a pastoral dairy farm
- A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs
- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- Risk-averse stochastic optimal control: an efficiently computable statistical upper bound
- A unified framework for stochastic optimization
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