Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
From MaRDI portal
Publication:1807682
DOI10.1023/A:1022641805263zbMATH Open0955.90096MaRDI QIDQ1807682FDOQ1807682
Authors: Yanyan Li 
Publication date: 4 March 2001
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Recommendations
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- A multicut algorithm for two-stage stochastic linear programs
- On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
- scientific article; zbMATH DE number 740448
- Cut sharing for multistage stochastic linear programs with interstage dependency
Cites Work
- MSLiP: A computer code for the multistage stochastic linear programming problem
- Multi-stage stochastic optimization applied to energy planning
- Cut sharing for multistage stochastic linear programs with interstage dependency
- An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
- Title not available (Why is that?)
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic Network Programming for Financial Planning Problems
- State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
- On augmented Lagrangian decomposition methods for multistage stochastic programs
- stochastic quasigradient methods and their application to system optimization†
- Analysis of Sample-Path Optimization
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Title not available (Why is that?)
- Title not available (Why is that?)
- Production planning via scenario modelling
- A diagonal quadratic approximation method for large scale linear programs
- Programming Under Uncertainty: The Solution Set
- Decomposition/Coordination Algorithms in Stochastic Optimization
- Title not available (Why is that?)
Cited In (45)
- Optimal Power Flow in Distribution Networks Under N – 1 Disruptions: A Multistage Stochastic Programming Approach
- 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
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- MIDAS: a mixed integer dynamic approximation scheme
- Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
- Shape constraints in economics and operations research
- Analysis of stochastic dual dynamic programming method
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Divide to conquer: decomposition methods for energy optimization
- Managing capacity flexibility in make-to-order production environments
- 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
- A multicut algorithm for two-stage stochastic linear programs
- 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
- 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
- Stochastic dual dynamic integer programming
- On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
- 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
- On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
- 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
- Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems
- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- Cutting planes for multistage stochastic integer 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
- 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
- Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
- Evaluating policies in risk-averse multi-stage stochastic programming
- The policy graph decomposition of multistage stochastic programming problems
- Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality
- An algorithm for approximating piecewise linear concave functions from sample gradients
- Analysis of Sparse Cutting Planes for Sparse MILPs with Applications to Stochastic MILPs
Uses Software
This page was built for publication: Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1807682)
