Inexact Cuts in Stochastic Dual Dynamic Programming.
Vincent GuiguesPublished in: SIAM J. Optim. (2020)
Keyphrases
- dynamic programming
- forward and backward
- multistage
- lagrangian relaxation
- linear programming
- stochastic programming
- primal dual
- locally optimal
- learning automata
- markov processes
- optimal control
- coarse to fine
- single machine
- greedy algorithm
- monte carlo
- reinforcement learning
- multiscale
- stochastic nature
- information retrieval
- dp matching
- stochastic optimization
- stochastic model
- infinite horizon
- markov decision processes
- state space
- similarity measure
- social networks