On the Out-of-Sample Performance of Stochastic Dynamic Programming and Model Predictive Control

References

• Anderson EJ, Philpott AB (2022) Improving sample average approximation using distributional robustness. INFORMS J. Optim. 4(1):90–124.Link, Google Scholar
• Bellman R (1957) Dynamic Programming (Princeton University Press, Princeton, NJ).Google Scholar
• Bertsekas DP (2005) Dynamic programming and suboptimal control: A survey from ADP to MPC. Eur. J. Control 11(4):310–334.Google Scholar
• Bertsekas DP, Shreve SE (1996) Stochastic Optimal Control: The Discrete-Time Case (Athena Scientific, Belmont, MA).Google Scholar
• Bezanson J, Edelman A, Karpinski S, Shah VB (2017) Julia: A fresh approach to numerical computing. SIAM Rev. 59(1):65–98.Google Scholar
• David HA, Nagaraja HN (2004) Order Statistics, 3rd ed. (Wiley, Hoboken, NJ).Google Scholar
• Delage E, Ye Y (2010) Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. 58(3):595–612.Link, Google Scholar
• Downward A, Dowson O, Baucke R (2020) Stochastic dual dynamic programming with stagewise-dependent objective uncertainty. Oper. Res. Lett. 48(1):33–39.Google Scholar
• Dowson O (2018) Applying stochastic optimisation to the New Zealand dairy industry. PhD thesis, University of Auckland, Auckland, New Zealand.Google Scholar
• Dupačová J (1966) On minimax solutions of stochastic linear programming problems. Časopis Pro Pěstování Matematiky 91(4):423–430.Google Scholar
• Dyer M, Stougie L (2006) Computational complexity of stochastic programming problems. Math. Programming 106(1):423–432.Google Scholar
• Gotoh J, Kim MJ, Lim AEB (2023) Technical note—A data-driven approach to beating SAA out of sample. Oper. Res. 73(2):829–841.Google Scholar
• Iyengar GN (2005) Robust dynamic programming. Math. Oper. Res. 30(2):257–280.Link, Google Scholar
• Martin T (2021) Stochastic optimization for the procurement of crude oil in refineries. PhD thesis, École des Ponts ParisTech, Champs-sur-Marne, France.Google Scholar
• Pacaud F, Carpentier P, Chancelier JP, De Lara M (2024) Optimization of a domestic microgrid equipped with solar panel and battery: Model predictive control and stochastic dual dynamic programming approaches. Energy Systems 15(1):115–139.Google Scholar
• Pereira MVF, Pinto LMVG (1991) Multi-stage stochastic optimization applied to energy planning. Math. Programming 52(1):359–375.Google Scholar
• Scarf HE (1958) A min-max solution of an inventory problem. Arrow KJ, Karlin S, Scarf HE, eds. Studies in the Mathematical Theory of Inventory and Production (Stanford University Press, Redwood City, CA), 201–209.Google Scholar
• Shapiro A (2006) On complexity of multistage stochastic programs. Oper. Res. Lett. 34(1):1–8.Google Scholar
• Shapiro A (2016) Rectangular sets of probability measures. Oper. Res. 64(2):528–541.Link, Google Scholar
• Shapiro A, Ding L (2020) Periodical multistage stochastic programs. SIAM J. Optim. 30(3):2083–2102.Google Scholar
• Shapiro A, Nemirovski A (2005) On complexity of stochastic programming problems. Jeyakumar V, Rubinov A, eds. Continuous Optimization: Current Trends and Modern Applications (Springer, Boston), 111–146.Google Scholar
• Shapiro A, Dentcheva D, Ruszczyński A (2009) Lectures on Stochastic Programming: Modeling and Theory (SIAM, Philadelphia).Google Scholar
• Stokey NL, Lucas RE Jr, Prescott EC (1989) Recursive Methods in Economic Dynamics (Harvard University Press, Cambridge, MA).Google Scholar
• Theil H (1957) A note on certainty equivalence in dynamic planning. Econometrica 25(2):346–349.Google Scholar
• Ziemba WT (1971) Transforming stochastic dynamic programming problems into nonlinear programs. Management Sci. 17(7):450–462.Link, Google Scholar