Periodical multistage stochastic programs

DOI10.1137/19M129406XzbMATH Open1448.90066OpenAlexW3047197922MaRDI QIDQ5116550FDOQ5116550

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

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zbMATH Keywords

dynamic programmingdecision rulesfixed point theoremBellman equationsmultistage programsSDDP algorithm

Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Variational Analysis
• Stochastic finance. An introduction in discrete time
• Stochastic optimal control. The discrete time case
• Multi-stage stochastic optimization applied to energy planning
• Risk neutral and risk averse stochastic dual dynamic programming method
• Lectures on stochastic programming. Modeling and theory.
• On Solving Multistage Stochastic Programs with Coherent Risk Measures
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
• On complexity of stochastic programming problems
• Dual dynamic programming with cut selection: convergence proof and numerical experiments
• Stochastic dual dynamic integer programming
• Generalized Dual Dynamic Programming for Infinite Horizon Problems in Continuous State and Action Spaces
• Consistency of Sample Estimates of Risk Averse Stochastic Programs

Cited In (6)

• 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
• Central limit theorem and sample complexity of stationary stochastic programs
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• Python
• MSPPy

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