Inexact cuts in stochastic dual dynamic programming
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Publication:5215519
Abstract: We introduce an extension of Stochastic Dual Dynamic Programming (SDDP) to solve stochastic convex dynamic programming equations. This extension applies when some or all primal and dual subproblems to be solved along the forward and backward passes of the method are solved with bounded errors (inexactly). This inexact variant of SDDP is described both for linear problems (the corresponding variant being denoted by ISDDP-LP) and nonlinear problems (the corresponding variant being denoted by ISDDP-NLP). We prove convergence theorems for ISDDP-LP and ISDDP-NLP both for bounded and asymptotically vanishing errors. Finally, we present the results of numerical experiments comparing SDDP and ISDDP-LP on portfolio problem with direct transaction costs modelled as a multistage stochastic linear optimization problem. On these experiments, ISDDP-LP allows us to obtain a good policy faster than SDDP.
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Cited in
(20)- Stochastic dynamic cutting plane for multistage stochastic convex programs
- Distributionally robust SDDP
- Duality and sensitivity analysis of multistage linear stochastic programs
- Analysis of stochastic dual dynamic programming method
- Exact converging bounds for stochastic dual dynamic programming via Fenchel duality
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
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- scientific article; zbMATH DE number 7733446 (Why is no real title available?)
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
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