Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization.
Shixuan ZhangXu Andy SunPublished in: Math. Program. (2022)
Keyphrases
- mixed integer
- multistage stochastic
- linear program
- nonlinear optimization
- dynamic programming
- stochastic programming
- primal dual
- linear programming
- cutting plane
- multistage
- optimization method
- mixed integer programming
- lot sizing
- column generation
- state space
- integer program
- global search
- objective function
- greedy algorithm
- feasible solution
- search algorithm
- knapsack problem
- infinite horizon
- closed form solutions
- lagrangian relaxation
- evolutionary algorithm
- optimal solution
- convex hull
- semi supervised
- reinforcement learning