Dual Bounds for Periodical Stochastic Programs

Published Online:https://doi.org/10.1287/opre.2021.2245

References

  • Bertsekas DP, Shreve SE (1978) Stochastic Optimal Control: The Discrete Time Case (Academic Press, New York).Google Scholar
  • Birge JR (1985) Decomposition and partitioning methods for multistage stochastic linear programs. Oper. Res. 33(5):989–1007.LinkGoogle Scholar
  • Ding L, Ahmed S, Shapiro A (2019) A Python package for multi-stage stochastic programming. Accessed November 24, 2021. http://www.optimization-online.org/DB_HTML/2019/05/7199.html.Google Scholar
  • Guigues V (2017) Dual dynamic programing with cut selection: Convergence proof and numerical experiments. Eur. J. Oper. Res. 258:47–57.CrossrefGoogle Scholar
  • Guigues V, Bandarra M (2019) Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: Convergence proof and numerical experiments. Preprint, submitted February 14, https://arxiv.org/abs/1902.06757.Google Scholar
  • Guigues V, Shapiro A, Cheng Y (2019) Duality and sensitivity analysis of multistage linear stochastic programs. Accessed November 24, 2021. http://www.optimization-online.org/DB_HTML/2019/11/7483.html.Google Scholar
  • Leclére V, Carpentier P, Chancelier J-P, Lenoir A, Pacaud F (2020) Exact converging bounds for stochastic dual dynamic programming via Fenchel duality. SIAM J. Optim. 30(2):1223–1250.CrossrefGoogle Scholar
  • Pereira MVF, Pinto LMVG (1991) Multi-stage stochastic optimization applied to energy planning. Math. Program. 52(1-3):359–375.CrossrefGoogle Scholar
  • Philpott A, de Matos V, Finardi E (2015) Improving the performance of stochastic dual dynamic programming. J. Comput. Appl. Math. 290:196–208.CrossrefGoogle Scholar
  • Shapiro A, Ding L (2020) Periodical multistage stochastic programs. SIAM J. Optim. 30(3):2083–2102.CrossrefGoogle Scholar
  • Shapiro A, Nemirovski A (2005) On complexity of stochastic programming problems. Jeyakumar V, Rubinov AM, eds. Continuous Optimization: Current Trends and Applications (Applied Optimization, Springer-Verlag, Boston), vol. 99, 111–144.CrossrefGoogle Scholar
  • Shapiro A, Dentcheva D, Ruszczyński A (2014) Lectures on Stochastic Programming: Modeling and Theory, 2nd ed. (Society for Industrial and Applied Mathematics, Philadelphia).CrossrefGoogle Scholar
  • Shapiro A, Tekaya W, da Costa JP, Pereira Soares M (2013) Risk neutral and risk averse stochastic dual dynamic programming method. Eur. J. Oper. Res. 224(2):375–391.CrossrefGoogle Scholar
  • Zipkin PH (2000) Foundations of Inventory Management (McGraw-Hill, Boston).Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.