Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems

Autor:	Benar Fux Svaiter, Renato D. C. Monteiro, Vincent Guigues
Rok vydání:	2021
Předmět:	Dynamic programming Mathematical optimization Stochastic optimization DUAL (cognitive architecture) Software Theoretical Computer Science Mathematics
Zdroj:	SIAM Journal on Optimization. 31:2084-2110
ISSN:	1095-7189 1052-6234
DOI:	10.1137/20m1330075
Popis:	In [V. Guigues, SIAM J. Optim., 30 (2020), pp. 407--438], an inexact variant of stochastic dual dynamic programming (SDDP) called ISDDP was introduced which uses approximate (instead of exact with ...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8981fbae9c1a0c03b1f02ebbea4dde86 https://doi.org/10.1137/20m1330075 Zobrazit plný text záznamu