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

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)

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Cited in

(3)

• 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

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