Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

DOI10.1023/A:1022641805263MaRDI QIDQ1807682zbMATHFDO

Authors Yanyan Li

Publication date 4 March 2001

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

samplingcutting planesmultistage stochastic programmingconvergence with probability one

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Stochastic programming (90C15)

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Cited in

(47)

• Particle methods for stochastic optimal control problems
• Adaptive multicut aggregation method for solving two-stage stochastic convex programming with recourse
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Evaluating policies in risk-averse multi-stage stochastic programming
• Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality
• Shape constraints in economics and operations research
• Divide to conquer: decomposition methods for energy optimization
• Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem
• Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
• Risk-averse feasible policies for large-scale multistage stochastic linear programs
• A new convergent hybrid learning algorithm for two-stage stochastic programs
• 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
• Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
• Multistage stochastic programs with block-separable recourse
• Managing capacity flexibility in make-to-order production environments
• A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
• Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers
• Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
• Analysis of stochastic dual dynamic programming method
• An algorithm for approximating piecewise linear concave functions from sample gradients
• Value function gradient learning for large-scale multistage stochastic programming problems
• Stochastic Lipschitz dynamic programming
• A multicut algorithm for two-stage stochastic linear programs
• Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
• MIDAS: a mixed integer dynamic approximation scheme
• Optimal power flow in distribution networks under \(N- 1\) disruptions: a multistage stochastic programming approach
• Stochastic dual dynamic integer programming
• Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
• Adaptive multicut aggregation for two-stage stochastic linear programs with recourse
• On conditional cuts for stochastic dual dynamic programming
• Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
• The policy graph decomposition of multistage stochastic programming problems
• Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
• Analysis of Sparse Cutting Planes for Sparse MILPs with Applications to Stochastic MILPs
• Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
• On the convergence of stochastic dual dynamic programming and related methods
• On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
• On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
• On the solution variability reduction of stochastic dual dynamic programming applied to energy planning
• Cutting planes for multistage stochastic integer programs
• Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
• The value of rolling-horizon policies for risk-averse hydro-thermal planning
• On the convergence of decomposition methods for multistage stochastic convex programs
• Two-stage linear decision rules for multi-stage stochastic programming

Describes a project that uses

Uses Software

• MSLiP

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