SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
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Publication:4995052
DOI10.1287/ijoc.2020.0987OpenAlexW3082883806WikidataQ121087181 ScholiaQ121087181MaRDI QIDQ4995052
Publication date: 23 June 2021
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2020.0987
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Uses Software
Cites Work
- 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
- Distributionally robust SDDP
- Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
- Stochastic dual dynamic integer programming
- Coherent Measures of Risk
- Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
- Julia: A Fresh Approach to Numerical Computing
- Approximate Dynamic Programming
- Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
- The Linear Programming Approach to Approximate Dynamic Programming
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty
- On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
- JuMP: A Modeling Language for Mathematical Optimization
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