Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers

DOI10.1007/S11081-020-09558-ZMaRDI QIDQ2138295zbMATH OpenOpenAlexFDO

Authors Felipe Beltrán, Erlon C. Finardi, Guilherme M. Fredo, Welington de Oliveira

Publication date 11 May 2022

Published in Optimization and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11081-020-09558-z

zbMATH Keywords

Chebyshev centershydrothermal scheduling problemmulti-stage stochastic programmingstochastic dynamic dual programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Applications of mathematical programming (90C90)

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• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• Improving the performance of stochastic dual dynamic programming
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• The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse
• The Cutting-Plane Method for Solving Convex Programs

Cited in

(4)

• Improving the performance of stochastic dual dynamic programming
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• An algorithm for finding the generalized Chebyshev center of sets defined via their support functions
• Stochastic dual dynamic programming and its variants: a review

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