Improving the performance of stochastic dual dynamic programming

DOI10.1016/j.cam.2015.04.048zbMath1329.90098OpenAlexW310049385MaRDI QIDQ492066

Erlon C. Finardi, Vitor L. de Matos, Andy B. Philpott

Publication date: 19 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.04.048

zbMATH Keywords

stochastic programmingstochastic dual dynamic programminghydrothermal schedulingcut selection

Mathematics Subject Classification ID

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Cites Work

• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Analysis of stochastic dual dynamic programming method
• On the convergence of stochastic dual dynamic programming and related methods
• Multi-stage stochastic optimization applied to energy planning
• Risk neutral and risk averse stochastic dual dynamic programming method
• A note on the selection of Benders' cuts
• Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
• A regularized decomposition method for minimizing a sum of polyhedral functions
• A Version of the Bundle Idea for Minimizing a Nonsmooth Function: Conceptual Idea, Convergence Analysis, Numerical Results

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