Name
Abstract | ||
|---|---|---|
In some applications the considered multistage stochastic programs have a periodical behavior. We show that in such cases it is possible to drastically reduce the number of stages by introducing a periodical analogue of the so-called Bellman equations for discounted infinite horizon problems used in Markov decision processes and stochastic optimal control. Furthermore, we describe a variant of the stochastic dual dynamic programming algorithm, applied to the constructed periodical Bellman equations, and provide numerical experiments for the Brazilian interconnected power system problem. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1137/19M129406X | SIAM JOURNAL ON OPTIMIZATION |
Keywords | DocType | Volume |
multistage programs,decision rules,dynamic programming,Bellman equations,SDDP algorithm,fixed point theorem | Journal | 30 |
Issue | ISSN | Citations |
3 | 1052-6234 | 0 |
PageRank | References | Authors |
0.34 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Alexander Shapiro | 1 | 1273 | 147.62 |
| Lingquan Ding | 2 | 0 | 0.34 |