Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

DOI10.1016/j.orl.2023.05.002zbMath1525.90301arXiv2112.09757MaRDI QIDQ6047690

Yi Cheng, Vincent Guigues, Alexander Shapiro

Publication date: 12 September 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.09757

zbMATH Keywords

stochastic programming; dynamic programming; stochastic optimal control; risk measures; SDDP; statistical upper bounds

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

90C15: Stochastic programming

90C39: Dynamic programming

93E20: Optimal stochastic control

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Improving the performance of stochastic dual dynamic programming
• On the convergence of stochastic dual dynamic programming and related methods
• Stochastic optimal control. The discrete time case
• Multi-stage stochastic optimization applied to energy planning
• Cut sharing for multistage stochastic linear programs with interstage dependency
• Modeling time-dependent randomness in stochastic dual dynamic programming
• Dual dynamic programming with cut selection: convergence proof and numerical experiments
• Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
• Risk neutral reformulation approach to risk averse stochastic programming
• Risk neutral and risk averse stochastic dual dynamic programming method
• SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
• Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
• Coherent Measures of Risk
• Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Introduction to Stochastic Programming
• Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality
• Robust Dual Dynamic Programming
• Lectures on Stochastic Programming: Modeling and Theory, Third Edition
• On Solving Multistage Stochastic Programs with Coherent Risk Measures
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Stochastic finance. An introduction in discrete time
• Duality and sensitivity analysis of multistage linear stochastic programs