SDDP for multistage stochastic linear programs based on spectral risk measures

Operations Research Letters ◽

10.1016/j.orl.2012.04.006 ◽

2012 ◽

Vol 40 (5) ◽

pp. 313-318 ◽

Author(s):

Vincent Guigues ◽

Werner Römisch

Keyword(s):

Risk Measures ◽

Linear Programs ◽

Spectral Risk Measures ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Cut sharing for multistage stochastic linear programs with interstage dependency

Mathematical Programming ◽

10.1007/bf02592154 ◽

1996 ◽

Vol 75 (2) ◽

pp. 241-256 ◽

Author(s):

Gerd Infanger ◽

David P. Morton

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Risk-averse feasible policies for large-scale multistage stochastic linear programs

Mathematical Programming ◽

10.1007/s10107-012-0592-1 ◽

2012 ◽

Vol 138 (1-2) ◽

pp. 167-198 ◽

Author(s):

Vincent Guigues ◽

Claudia Sagastizábal

Keyword(s):

Large Scale ◽

Linear Programs ◽

Risk Averse ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Solving Sequences of Refined Multistage Stochastic Linear Programs

Annals of Operations Research ◽

10.1023/b:anor.0000004766.05076.9d ◽

2003 ◽

Vol 124 (1-4) ◽

pp. 133-163 ◽

Author(s):

Karl Frauendorfer ◽

Gido Haarbrücker

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Reflections on Output Analysis for Multistage Stochastic Linear Programs

Lecture Notes in Economics and Mathematical Systems - Dynamic Stochastic Optimization ◽

10.1007/978-3-642-55884-9_1 ◽

2004 ◽

pp. 3-20 ◽

Author(s):

Jitka Dupačová

Keyword(s):

Linear Programs ◽

Output Analysis ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs

Mathematical Programming ◽

10.1007/bf02592158 ◽

1996 ◽

Vol 75 (2) ◽

pp. 327-352 ◽

Author(s):

John R. Birge ◽

Christopher J. Donohue ◽

Derek F. Holmes ◽

Oleg G. Svintsitski

Keyword(s):

Parallel Implementation ◽

Decomposition Algorithm ◽

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

Operations Research ◽

10.1287/opre.33.5.989 ◽

1985 ◽

Vol 33 (5) ◽

pp. 989-1007 ◽

Author(s):

John R. Birge

Keyword(s):

Linear Programs ◽

Partitioning Methods ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse

Journal of Optimization Theory and Applications ◽

10.1023/a:1022641805263 ◽

1999 ◽

Vol 102 (3) ◽

pp. 497-524 ◽

Author(s):

Z. L. Chen ◽

W. B. Powell

Keyword(s):

Cutting Plane ◽

Linear Programs ◽

Sampling Algorithm ◽

Partial Sampling ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Operations Research Letters ◽

10.1016/j.orl.2012.09.001 ◽

2012 ◽

Vol 40 (6) ◽

pp. 478-483 ◽

Author(s):

Vincent Guigues ◽

Claudia Sagastizábal

Keyword(s):

Linear Programs ◽

Autoregressive Processes ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

Journal of Global Optimization ◽

10.1023/b:jogo.0000015311.63755.01 ◽

2004 ◽

Vol 28 (2) ◽

pp. 197-215 ◽

Author(s):

Xinwei Liu ◽

Jie Sun

Keyword(s):

Interior Point ◽

Interior Point Methods ◽

Linear Programs ◽

Decomposition Technique ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

Computational Management Science ◽

10.1007/s10287-021-00387-8 ◽

2021 ◽

Author(s):

Michelle Bandarra ◽

Vincent Guigues

Keyword(s):

Dynamic Programming ◽

Numerical Experiments ◽

Linear Programs ◽

Stochastic Dual Dynamic Programming ◽

Convergence Proof ◽

Selection For ◽

Stochastic Linear Programs ◽

Dual Dynamic Programming ◽

Multistage Stochastic Linear Programs

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