SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming.
Oscar DowsonLea KapelevichPublished in: INFORMS J. Comput. (2021)
Keyphrases
- dynamic programming
- monte carlo
- multistage
- forward and backward
- optimal control
- stereo matching
- state space
- reinforcement learning
- stochastic programming
- markov processes
- greedy algorithm
- coarse to fine
- stochastic optimization
- linear programming
- stochastic process
- dynamic programming algorithms
- data sets
- single machine
- stochastic processes
- locally optimal
- stochastic nature
- lagrangian relaxation
- primal dual
- convex optimization
- linear program
- markov decision processes
- similarity measure
- website
- information systems
- databases