Dual dynamic programming with cut selection: convergence proof and numerical experiments

DOI10.1016/j.ejor.2016.10.047zbMath1380.90277arXiv1705.08941OpenAlexW2546532603MaRDI QIDQ1698882

Vincent Guigues

Publication date: 16 February 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.08941

zbMATH Keywords

dynamic programmingdecomposition algorithmsnonlinear programmingdual dynamic programmingpruning methods

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Dynamic programming (90C39)

Related Items (13)

Parallel and distributed computing for stochastic dual dynamic programming ⋮ Risk neutral reformulation approach to risk averse stochastic programming ⋮ Risk-averse stochastic optimal control: an efficiently computable statistical upper bound ⋮ Duality and sensitivity analysis of multistage linear stochastic programs ⋮ Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality ⋮ Periodical Multistage Stochastic Programs ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure ⋮ Stochastic decomposition applied to large-scale hydro valleys management ⋮ Stochastic dynamic cutting plane for multistage stochastic convex programs ⋮ Inexact Cuts in Stochastic Dual Dynamic Programming ⋮ Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments ⋮ Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization

Uses Software

• Mosek

Cites Work

• 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
• On the convergence of stochastic dual dynamic programming and related methods
• Multi-stage stochastic optimization applied to energy planning
• SDDP for multistage stochastic linear programs based on spectral risk measures
• Parallel decomposition of multistage stochastic programming problems
• SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
• Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
• Lectures on Stochastic Programming
• Worst-Case-Expectation Approach to Optimization Under Uncertainty

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