Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments.
Michelle BandarraVincent GuiguesPublished in: Comput. Manag. Sci. (2021)
Keyphrases
- approximation algorithms
- linear program
- multistage stochastic
- np hard
- dynamic programming
- primal dual
- linear programming
- stochastic programming
- convergence proof
- optimal solution
- integer program
- approximate dynamic programming
- multistage
- integer programming
- mixed integer
- column generation
- state space
- capacity expansion
- semidefinite programming
- portfolio selection
- objective function
- finite number
- reinforcement learning
- markov decision processes
- search space