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