Stochastic dual dynamic programming with stagewise-dependent objective uncertainty

DOI10.1016/J.ORL.2019.11.002MaRDI QIDQ2294526zbMATH OpenOpenAlexWikidataFDO

Authors Anthony Downward, Regan Baucke, Oscar Dowson

Publication date 11 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2019.11.002

zbMATH Keywords

decompositiondynamic programmingstochastic programmingmultistageSDDP

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 53571 (Why is no real title available?)
• SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
• Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
• Cut sharing for multistage stochastic linear programs with interstage dependency
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Julia: a fresh approach to numerical computing
• Long- and Medium-term Operations Planning and Stochastic Modelling in Hydro-dominated Power Systems Based on Stochastic Dual Dynamic Programming
• Multi-stage stochastic optimization applied to energy planning
• On the convergence of stochastic dual dynamic programming and related methods
• Stochastic dual dynamic integer programming

Cited in

(11)

• Partially observable multistage stochastic programming
• SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
• Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
• Duality and sensitivity analysis of multistage linear stochastic programs
• scientific article; zbMATH DE number 7733446 (Why is no real title available?)
• Distributionally Robust Stochastic Dual Dynamic Programming
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
• Dual SDDP for risk-averse multistage stochastic programs
• Bi-objective multistage stochastic linear programming
• MIDAS: a mixed integer dynamic approximation scheme
• Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty

Describes a project that uses

Uses Software

• Julia
• SDDP
• DynamicProgramming.jl
• GitHub

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