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

DOI10.1007/S11081-020-09558-ZzbMATH Open1492.90099OpenAlexW3084313993MaRDI QIDQ2138295FDOQ2138295

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

Recommendations

• Improving the performance of stochastic dual dynamic programming
• Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
• Exact converging bounds for stochastic dual dynamic programming via Fenchel duality
• Inexact cuts in stochastic dual dynamic programming
• SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

zbMATH Keywords

multi-stage stochastic programmingChebyshev centershydrothermal scheduling problemstochastic dynamic dual programming

Mathematics Subject Classification ID

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

Cites Work

• Introductory lectures on convex optimization. A basic course.
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Title not available (Why is that?)
• Multi-stage stochastic optimization applied to energy planning
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• Risk neutral and risk averse stochastic dual dynamic programming method
• The Cutting-Plane Method for Solving Convex Programs
• The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
• Analysis of stochastic dual dynamic programming method
• Assessing solution quality in stochastic programs
• Accelerating the regularized decomposition method for two stage stochastic linear problems
• A proximal cutting plane method using Chebychev center for nonsmooth convex optimization
• A central cutting plane algorithm for the convex programming problem
• Improving the performance of stochastic dual dynamic programming
• Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
• Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
• Target radius methods for nonsmooth convex optimization
• On the solution variability reduction of stochastic dual dynamic programming applied to energy planning
• On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems

Cited In (3)

• 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
• Improving the performance of stochastic dual dynamic programming

This page was built for publication: Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2138295)