SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
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Cites work
- Analysis of stochastic dual dynamic programming method
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- Distributionally robust SDDP
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- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Julia: a fresh approach to numerical computing
- JuMP: a modeling language for mathematical optimization
- Multi-stage stochastic optimization applied to energy planning
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- Stochastic dual dynamic integer programming
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Cited in
(29)- Bi-objective multistage stochastic linear programming
- Two-stage linear decision rules for multi-stage stochastic programming
- Stochastic Lipschitz dynamic programming
- Parallel and distributed computing for stochastic dual dynamic programming
- Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
- Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
- SDDP
- ROC++: Robust Optimization in C++
- Optimal power flow in distribution networks under N- 1 disruptions: a multistage stochastic programming approach
- Efficient Stochastic Programming in Julia
- On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies
- A parallel hub-and-spoke system for large-scale scenario-based optimization under uncertainty
- Multistage stochastic fractionated intensity modulated radiation therapy planning
- JuMP 1.0: recent improvements to a modeling language for mathematical optimization
- Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
- Solving multistage stochastic linear programming via regularized linear decision rules: an application to hydrothermal dispatch planning
- Differentiability and regularization of parametric convex value functions in stochastic multistage optimization
- Epi-consistent approximationof stochastic dynamic programs
- Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
- Multistage stochastic optimization of a mono-site hydrogen infrastructure by decomposition techniques
- Stochastic dual dynamic programming and its variants: a review
- Risk-averse multistage stochastic programs with expected conditional risk measures
- Incorporating convex risk measures into multistage stochastic programming algorithms
- Capacity planning of renewable energy systems using stochastic dual dynamic programming
- Solving constrained consumption-investment problems by decomposition algorithms
- Multistage stochastic optimization for mid-term integrated generation and maintenance scheduling of cascaded hydroelectric system with renewable energy uncertainty
- Integer L-shaped and Lagrangian cuts revisited: a unified perspective
- Optimal operation and valuation of electricity storage systems in intraday markets
- MDP modeling for multi-stage stochastic programs
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