Stochastic dynamic cutting plane for multistage stochastic convex programs
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Publication:2032005
Abstract: We introduce StoDCuP (Stochastic Dynamic Cutting Plane), an extension of the Stochastic Dual Dynamic Programming (SDDP) algorithm to solve multistage stochastic convex optimization problems. At each iteration, the algorithm builds lower affine functions not only for the cost-to-go functions, as SDDP does, but also for some or all nonlinear cost and constraint functions. We show the almost sure convergence of StoDCuP. We also introduce an inexact variant of StoDCuP where all subproblems are solved approximately (with bounded errors) and show the almost sure convergence of this variant for vanishing errors.
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Cited in
(13)- scientific article; zbMATH DE number 7733446 (Why is no real title available?)
- Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
- Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
- Dynamic stochastic approximation for multi-stage stochastic optimization
- Stochastic Lipschitz dynamic programming
- StoDCuP
- Exact converging bounds for stochastic dual dynamic programming via Fenchel duality
- Inexact cuts in stochastic dual dynamic programming
- Stochastic dual dynamic integer programming
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Complexity of stochastic dual dynamic programming
- Analysis of Sparse Cutting Planes for Sparse MILPs with Applications to Stochastic MILPs
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
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