Cut sharing for multistage stochastic linear programs with interstage dependency
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Publication:1363428
DOI10.1007/BF02592154zbMATH Open0874.90147OpenAlexW2082431013MaRDI QIDQ1363428FDOQ1363428
Authors: Gerd Infanger, David Morton 
Publication date: 7 August 1997
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02592154
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Monte Carlo samplingmultistage stochastic programsdecomposition-based algorithmsinterstage independent random parameters
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Cited In (46)
- Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- Non-convex nested Benders decomposition
- Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
- Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
- 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
- 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
- Multistage scenario-based interval-stochastic programming for planning water resources allocation
- 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
- Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
- A new convergent hybrid learning algorithm for two-stage stochastic programs
- 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
- On conditional cuts for stochastic dual dynamic programming
- Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
- A fuzzy-robust stochastic multiobjective programming approach for petroleum waste management planning
- 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
- Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty
- 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
- Multistage quadratic stochastic programming
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- The policy graph decomposition of multistage stochastic programming problems
- Energy contracts management by stochastic programming techniques
- 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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