Stochastic dynamic cutting plane for multistage stochastic convex programs

DOI10.1007/s10957-021-01842-xzbMath1470.90059arXiv1912.11946OpenAlexW3137164884MaRDI QIDQ2032005

Renato D. C. Monteiro, Vincent Guigues

Publication date: 15 June 2021

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

Full work available at URL: https://arxiv.org/abs/1912.11946

zbMATH Keywords

stochastic programmingSDDPinexact cuts for value functionsinexact SDDP

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Related Items

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems, StoDCuP

Uses Software

• Mosek
• MSPPy

Cites Work

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