Periodical Multistage Stochastic Programs

DOI10.1137/19M129406XzbMath1448.90066MaRDI QIDQ5116550

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

decision rules; dynamic programming; fixed point theorem; Bellman equations; multistage programs; SDDP algorithm

Mathematics Subject Classification ID

90C15: Stochastic programming

90C39: Dynamic programming

Related Items

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems, Unnamed Item, Unnamed Item, Stochastic dynamic cutting plane for multistage stochastic convex programs, Central limit theorem and sample complexity of stationary stochastic programs

Uses Software

• Python
• MSPPy

Cites Work

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