Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality.
Vincent LeclèrePierre CarpentierJean-Philippe ChancelierArnaud LenoirFrançois PacaudPublished in: SIAM J. Optim. (2020)
Keyphrases
- dynamic programming
- stage stochastic programs
- forward and backward
- lower bound
- upper bound
- duality gap
- linear program
- exact and approximate
- greedy algorithm
- learning automata
- lower and upper bounds
- stochastic optimization
- stochastic model
- error bounds
- stereo matching
- tight bounds
- multistage
- dp matching
- reinforcement learning
- marginal probabilities
- upper and lower bounds
- brute force
- primal dual
- monte carlo
- worst case
- multiscale
- stochastic processes
- infinite horizon
- markov decision processes
- dynamic programming algorithms
- graphical models
- stochastic nature
- objective function