Periodical multistage stochastic programs

DOI10.1137/19M129406XMaRDI QIDQ5116550zbMATH OpenOpenAlexFDO

Authors Alexander Shapiro, Lingquan Ding

Publication date 18 August 2020

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/19m129406x

zbMATH Keywords

dynamic programmingdecision rulesfixed point theoremBellman equationsmultistage programsSDDP algorithm

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• Coherent measures of risk
• Consistency of sample estimates of risk averse stochastic programs
• Dual dynamic programming with cut selection: convergence proof and numerical experiments
• Generalized Dual Dynamic Programming for Infinite Horizon Problems in Continuous State and Action Spaces
• Lectures on stochastic programming. Modeling and theory.
• Multi-stage stochastic optimization applied to energy planning
• On complexity of stochastic programming problems
• On solving multistage stochastic programs with coherent risk measures
• On the convergence of decomposition methods for multistage stochastic convex programs
• Risk neutral and risk averse stochastic dual dynamic programming method
• Stochastic dual dynamic integer programming
• Stochastic finance. An introduction in discrete time
• Stochastic optimal control. The discrete time case
• Variational Analysis

Cited in

(8)

• Central limit theorem and sample complexity of stationary stochastic programs
• Partially observable multistage stochastic programming
• scientific article; zbMATH DE number 7733435 (Why is no real title available?)
• scientific article; zbMATH DE number 7733446 (Why is no real title available?)
• Dual Bounds for Periodical Stochastic Programs
• Stochastic dynamic cutting plane for multistage stochastic convex programs
• A first order approach to a class of multi-time-period stochastic programming problems
• Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems

Describes a project that uses

Uses Software

• Python
• MSPPy

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