The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse

zbMATH Open1148.90336MaRDI QIDQ3415352FDOQ3415352

Authors: Christopher J. Donohue, John R. Birge 

Publication date: 18 January 2007

Full work available at URL: http://journals.hil.unb.ca/index.php/AOR/article/view/94

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Mathematics Subject Classification ID

Stochastic programming (90C15) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Cited In (41)

• Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
• A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
• Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
• Nested decomposition of multistage nonlinear programs with recourse
• MIDAS: a mixed integer dynamic approximation scheme
• Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
• Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
• Shape constraints in economics and operations research
• A new decomposition technique in solving multistage stochastic linear programs by infeasible interior point methods
• Analysis of stochastic dual dynamic programming method
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Divide to conquer: decomposition methods for energy optimization
• Managing capacity flexibility in make-to-order production environments
• Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
• On the convergence of stochastic dual dynamic programming and related methods
• On the solution variability reduction of stochastic dual dynamic programming applied to energy planning
• Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
• Complexity of stochastic dual dynamic programming
• Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers
• Dynamic stochastic approximation for multi-stage stochastic optimization
• On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• On conditional cuts for stochastic dual dynamic programming
• On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
• Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem
• Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
• Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
• Computational assessment of nested Benders and augmented Lagrangian decomposition for mean-variance multistage stochastic problems
• Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
• An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
• Particle methods for stochastic optimal control problems
• Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
• Scenario generation for stochastic optimization problems via the sparse grid method
• Approximate stochastic dynamic programming for hydroelectric production planning
• Optimization model of production and supply planning of multi-stage stochastic programming by the nested L-shaped decomposition method
• Evaluating policies in risk-averse multi-stage stochastic programming
• The policy graph decomposition of multistage stochastic programming problems
• On the convergence of decomposition methods for multistage stochastic convex programs
• Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
• A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
• SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

Uses Software

• MSLiP

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