Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
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Publication:2294526
DOI10.1016/J.ORL.2019.11.002OpenAlexW2990523409WikidataQ126748184 ScholiaQ126748184MaRDI QIDQ2294526FDOQ2294526
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
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Cites Work
- Julia: a fresh approach to numerical computing
- SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
- On the convergence of stochastic dual dynamic programming and related methods
- Multi-stage stochastic optimization applied to energy planning
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- Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
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- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
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- Stochastic dual dynamic integer programming
Cited In (11)
- MIDAS: a mixed integer dynamic approximation scheme
- Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty
- Duality and sensitivity analysis of multistage linear stochastic programs
- Bi-objective multistage stochastic linear programming
- Distributionally Robust Stochastic Dual Dynamic Programming
- Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
- SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
- Dual SDDP for risk-averse multistage stochastic programs
- Partially observable multistage stochastic programming
- Title not available (Why is that?)
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
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