Stochastic Lipschitz dynamic programming
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Publication:2118094
Abstract: We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower approximations for the non-convex cost to go functions. An example of such a class of cuts are those derived using Augmented Lagrangian Duality for MILPs. The family of Lipschitz cuts we use is MILP representable, so that the introduction of these cuts does not change the class of the original stochastic optimization problem. We illustrate the application of this algorithm on two simple case studies, comparing our approach with the convex relaxation of the problems, for which we can apply SDDP, and for a discretized approximation, applying SDDiP.
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Cited in
(8)- scientific article; zbMATH DE number 2050965 (Why is no real title available?)
- Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
- Decomposition methods for global solution of mixed-integer linear programs
- Stochastic Lipschitz functions
- Stochastic dynamic cutting plane for multistage stochastic convex programs
- Stochastic convexity in dynamic programming
- scientific article; zbMATH DE number 4213767 (Why is no real title available?)
- Lipschitz continuous policy functions for strongly concave optimization problems
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