Lee, Jinkyu; Bae, Sanghyeon; Kim, Woo Chang; Lee, Yongjae Value function gradient learning for large-scale multistage stochastic programming problems. (English) Zbl 07709112 Eur. J. Oper. Res. 308, No. 1, 321-335 (2023). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Brown, David B.; Zhang, Jingwei Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality. (English) Zbl 1502.90087 Oper. Res. 70, No. 5, 3015-3033 (2022). MSC: 90B50 90B05 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Shixuan; Sun, Xu Andy Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization. (English) Zbl 1506.90185 Math. Program. 196, No. 1-2 (B), 935-985 (2022). MSC: 90C15 90C11 90C30 90C60 90C39 49N15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Yang, Haoxiang; Nagarajan, Harsha Optimal power flow in distribution networks under \(N- 1\) disruptions: a multistage stochastic programming approach. (English) Zbl 1492.90065 INFORMS J. Comput. 34, No. 2, 690-709 (2022). MSC: 90B36 90B25 90C15 90C25 × Cite Format Result Cite Review PDF Full Text: DOI
Borges, Pedro Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS. (English) Zbl 1494.90057 Comput. Optim. Appl. 82, No. 3, 617-647 (2022). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Beltrán, Felipe; Finardi, Erlon C.; Fredo, Guilherme M.; de Oliveira, Welington Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers. (English) Zbl 1492.90099 Optim. Eng. 23, No. 1, 147-168 (2022). MSC: 90C15 90C39 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Bodur, Merve; Luedtke, James R. Two-stage linear decision rules for multi-stage stochastic programming. (English) Zbl 1489.90074 Math. Program. 191, No. 1 (B), 347-380 (2022). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Siddig, Murwan; Song, Yongjia Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse. (English) Zbl 1484.90057 Comput. Optim. Appl. 81, No. 1, 201-250 (2022). MSC: 90C15 90C05 × Cite Format Result Cite Review PDF Full Text: DOI
Bandarra, Michelle; Guigues, Vincent Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. (English) Zbl 07432763 Comput. Manag. Sci. 18, No. 2, 125-148 (2021). MSC: 90Bxx 90C15 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gangammanavar, Harsha; Sen, Suvrajeet Stochastic dynamic linear programming: a sequential sampling algorithm for multistage stochastic linear programming. (English) Zbl 1477.90047 SIAM J. Optim. 31, No. 3, 2111-2140 (2021). MSC: 90C15 90C06 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guigues, Vincent; Monteiro, Renato; Svaiter, Benar Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems. (English) Zbl 1477.90048 SIAM J. Optim. 31, No. 3, 2084-2110 (2021). MSC: 90C15 90C90 90C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guigues, Vincent Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection. (English) Zbl 1464.90043 Optim. Methods Softw. 36, No. 1, 211-236 (2021). MSC: 90C15 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dowson, Oscar The policy graph decomposition of multistage stochastic programming problems. (English) Zbl 07769704 Networks 76, No. 1, 3-23 (2020). MSC: 90Cxx × Cite Format Result Cite Review PDF Full Text: DOI
Diniz, Andre Luiz; Maceira, Maria Elvira P.; Vasconcellos, Cesar Luis V.; Penna, Debora Dias J. A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning. (English) Zbl 1456.90111 Ann. Oper. Res. 292, No. 2, 649-681 (2020). MSC: 90C15 90C39 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
van Ackooij, W.; Warin, X. On conditional cuts for stochastic dual dynamic programming. (English) Zbl 1441.90111 EURO J. Comput. Optim. 8, No. 2, 173-199 (2020). MSC: 90C15 65C35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Philpott, A. B.; Wahid, F.; Bonnans, J. F. MIDAS: a mixed integer dynamic approximation scheme. (English) Zbl 1467.90027 Math. Program. 181, No. 1 (A), 19-50 (2020). Reviewer: I. M. Stancu-Minasian (Bucureşti) MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Valladão, Davi; Silva, Thuener; Poggi, Marcus Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns. (English) Zbl 1430.91092 Ann. Oper. Res. 282, No. 1-2, 379-405 (2019). MSC: 91G10 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
van Ackooij, Wim; de Oliveira, Welington; Song, Yongjia On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems. (English) Zbl 1427.90207 Comput. Optim. Appl. 74, No. 1, 1-42 (2019). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Zou, Jikai; Ahmed, Shabbir; Sun, Xu Andy Stochastic dual dynamic integer programming. (English) Zbl 1412.90101 Math. Program. 175, No. 1-2 (A), 461-502 (2019). MSC: 90C15 90C11 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Johnson, Andrew L.; Jiang, Daniel R. Shape constraints in economics and operations research. (English) Zbl 1407.62424 Stat. Sci. 33, No. 4, 527-546 (2018). MSC: 62P20 62G08 62H12 62L12 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Soares, Murilo Pereira; Street, Alexandre; Valladão, Davi Michel On the solution variability reduction of stochastic dual dynamic programming applied to energy planning. (English) Zbl 1394.90414 Eur. J. Oper. Res. 258, No. 2, 743-760 (2017). MSC: 90B90 90C15 90C39 65K05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Steeger, Gregory; Rebennack, Steffen Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem. (English) Zbl 1394.90442 Eur. J. Oper. Res. 257, No. 2, 669-686 (2017). MSC: 90C11 90C15 90C39 90C57 91B26 90B35 × Cite Format Result Cite Review PDF Full Text: DOI
de Matos, Vitor L.; Morton, David P.; Finardi, Erlon C. Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling. (English) Zbl 1380.90209 Ann. Oper. Res. 253, No. 2, 713-731 (2017). MSC: 90C15 90B36 × Cite Format Result Cite Review PDF Full Text: DOI
Guigues, Vincent Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs. (English) Zbl 1356.90095 SIAM J. Optim. 26, No. 4, 2468-2494 (2016). MSC: 90C15 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rebennack, Steffen Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming. (English) Zbl 1342.90116 Math. Program. 156, No. 1-2 (A), 343-389 (2016). MSC: 90C15 90C05 90C39 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Kozmík, Václav; Morton, David P. Evaluating policies in risk-averse multi-stage stochastic programming. (English) Zbl 1327.90155 Math. Program. 152, No. 1-2 (A), 275-300 (2015). MSC: 90C15 49M27 × Cite Format Result Cite Review PDF Full Text: DOI
Girardeau, P.; Leclere, V.; Philpott, A. B. On the convergence of decomposition methods for multistage stochastic convex programs. (English) Zbl 1308.90115 Math. Oper. Res. 40, No. 1, 130-145 (2015). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI Link
de Queiroz, Anderson Rodrigo; Morton, David P. Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs. (English) Zbl 1286.90104 Oper. Res. Lett. 41, No. 3, 311-316 (2013). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Carpentier, Pierre; Cohen, Guy; Dallagi, Anes Particle methods for stochastic optimal control problems. (English) Zbl 1284.93259 Comput. Optim. Appl. 56, No. 3, 635-674 (2013). MSC: 93E20 90C15 93E25 49L20 93B52 49K45 49M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guigues, Vincent; Sagastizábal, Claudia Risk-averse feasible policies for large-scale multistage stochastic linear programs. (English) Zbl 1266.90135 Math. Program. 138, No. 1-2 (A), 167-198 (2013). MSC: 90C15 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Sagastizábal, Michael Martin C. Divide to conquer: decomposition methods for energy optimization. (English) Zbl 1254.90238 Math. Program. 134, No. 1 (B), 187-222 (2012). MSC: 90C30 90C15 90C90 49J53 65K10 49M05 × Cite Format Result Cite Review PDF Full Text: DOI
Guigues, Vincent; Sagastizábal, Claudia The value of rolling-horizon policies for risk-averse hydro-thermal planning. (English) Zbl 1244.90264 Eur. J. Oper. Res. 217, No. 1, 129-140 (2012). MSC: 90C90 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Tanrisever, Fehmi; Morrice, Douglas; Morton, David Managing capacity flexibility in make-to-order production environments. (English) Zbl 1237.90079 Eur. J. Oper. Res. 216, No. 2, 334-345 (2012). MSC: 90B30 90B80 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Shapiro, Alexander Analysis of stochastic dual dynamic programming method. (English) Zbl 1208.90126 Eur. J. Oper. Res. 209, No. 1, 63-72 (2011). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Philpott, A. B.; Guan, Z. On the convergence of stochastic dual dynamic programming and related methods. (English) Zbl 1155.90437 Oper. Res. Lett. 36, No. 4, 450-455 (2008). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Linowsky, K.; Philpott, A. B. On the convergence of sampling-based decomposition algorithms for multistage stochastic programs. (English) Zbl 1071.90029 J. Optimization Theory Appl. 125, No. 2, 349-366 (2005). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Topaloglu, Huseyin; Powell, Warren B. An algorithm for approximating piecewise linear concave functions from sample gradients. (English) Zbl 1031.90024 Oper. Res. Lett. 31, No. 1, 66-76 (2003). MSC: 90C26 90C52 90C59 × Cite Format Result Cite Review PDF Full Text: DOI