Stochastic Lipschitz dynamic programming
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Publication:2118094
DOI10.1007/S10107-020-01569-ZzbMATH Open1489.90072arXiv1905.02290OpenAlexW3094694511MaRDI QIDQ2118094FDOQ2118094
Publication date: 22 March 2022
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1905.02290
Nonconvex programming, global optimization (90C26) Dynamic programming (90C39) Stochastic programming (90C15) Mixed integer programming (90C11)
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Cited In (7)
- Title not available (Why is that?)
- Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
- Stochastic Lipschitz functions
- Lipschitz continuous policy functions for strongly concave optimization problems
- Decomposition methods for global solution of mixed-integer linear programs
- Stochastic convexity in dynamic programming
- Title not available (Why is that?)
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